Martingale Property and Capacity under G-Framework


Abstract The main purpose of this article is to study the symmetric martingale property and capacity defined by G-expectation introduced by Peng (cf. 0601035v2.pdf) in 2006. We show that the G-capacity can not be dynamic, and also demonstrate the relationship between symmetric G-martingale and the martingale under… (More)


Cite this paper

@inproceedings{Xu2010MartingalePA, title={Martingale Property and Capacity under G-Framework}, author={Jing Xu and Bo Zhang}, year={2010} }