Properties of hitting times for G-martingales and their applications
By Yongsheng Song. 2011
50 citations recorded by the source corpus.
In this article, we consider the properties of hitting times for G-martingales 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 one-dimensional G-Brownian motion are quasi-continuous. As an application, we improve the G-martingale representation theorems of [7].
Subfields: Demography, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/9179f680f4c288682630dce59234e0b98af65bbc
How researchers see this paper
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In Demography
- Jianfeng Zhang
- Nizar Touzi
- Ibrahim Ekren
- Marcel Nutz
- Adrien Richou
- Emmanuel Gobet
- Christian Bender
- D. Crisan
In Finance
- Jianfeng Zhang
- Nizar Touzi
- Ibrahim Ekren
- Marcel Nutz
- H. M. Soner
- Adrien Richou
- Shige Peng
- Christian Bender
In Management Science and Operations Research
- Jianfeng Zhang
- Nizar Touzi
- Ibrahim Ekren
- Marcel Nutz
- H. M. Soner
- Yongsheng Song
- Ariel Neufeld
- Joerg Vorbrink
Citations in the corpus
- Optimal Stopping under Nonlinear Expectation (2012, background): “We also remark that, in a special case, Song [17] proved that h is quasicontinuous.”