Lévy's martingale characterization and reflection principle of G-Brownian motion

2018/05/29 by Hu, Mingshang, Ji, Xiaojun, Liu, Guomin
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1805.11370

Abstract

In this paper, we obtain Lévy's martingale characterization of G-Brownian motion without the nondegenerate condition. Base on this characterization, we prove the reflection principle of G-Brownian motion. Furthermore, we use Krylov's estimate to get the reflection principle of G-Brownian motion.

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