Properties of hitting times for $G$-martingale

Abstract

In this article, we consider the properties of hitting times for $G$-martingale and the stopped processes. We prove that the stopped processes for $G$-martingales are still $G$-martingales and that the hitting times for a class of $G$-martingales including $G$-Brownian motion are quasi-continuous. As an application, we improve the $G$-martingale representation theorems in [Song10].

13 pages

References in corpus (1)

• G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty

Cited by in corpus (4)

• Optimal Stopping under Nonlinear Expectation
• Financial markets with volatility uncertainty
• G-Gaussian Processes under Sublinear Expectations and q-Brownian Motion in Quantum Mechanics
• A weighted central limit theorem under sublinear expectations