Quasi-continuous random variables and processes under the G-expectation framework

By Mingshang Hu, Falei Wang, Guoqiang Zheng. 2014

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In this paper, we first use PDE techniques and probabilistic methods to identify a kind of quasi-continuous random variables. Then we give a characterization of the G-integrable processes and get a kind of quasi-continuous processes by Krylov’s estimates. This result is useful for the development of G-stochastic analysis theory. Moreover, it also provides a tool for the study of the non-Markovian Ito processes.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/809886016bb4519b2037f50994367b4031467f39