Representation of G-martingales as stochastic integrals with respect to the G-Brownian motion
arXiv:1003.3169
Abstract
The objective of this paper is to derive a representation of symmetric G-martingales as stochastic integrals with respect to the G-Brownian motion. For this end, we first study some extensions of stochastic calculus with respect to G-martingales under the sublinear expectation spaces.
Workshop "Stochastic Control and Finance" March 18-23 2010, ROSCOFF, France