On Representation Theorem of G-Expectations and Paths of G-Brownian Motion

被引：118

作者：

Hu, Ming-shang ^{[1
]}

Peng, Shi-ge ^{[1
]}

机构：

[1] Shandong Univ, Inst Math, Jinan 250100, Peoples R China

来源：

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 2009年 / 25卷 / 03期

关键词：

Probability and distribution uncertainty; G-normal distribution; G-Brownian motion; continuous paths;

D O I：

10.1007/s10255-008-8831-1

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We give a very simple and elementary proof of the existence of a weakly compact family of probability measures {P-theta : theta is an element of Theta} representing an important sublinear expectation - G-expectation E[.]. We also give a concrete approximation of a bounded continuous function X(omega) by an increasing sequence of cylinder functions L-ip(Omega) in order to prove that C-b(Omega) belongs to the completion of L-ip(Omega) under the natural norm E[|.|].

引用

页码：539 / 546

页数：8

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