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

Simple item page
dc.creatorHu, Mingshang
dc.creatorPeng, Shige
dc.date2009-04-29
dc.date.accessioned2026-07-07T13:09:53Z
dc.date.available2026-07-07T13:09:53Z
dc.descriptionWe give a very simple and elementary proof of the existence of a weakly compact family of probability measures $\{P_θ:θ\in Θ\}$ to represent an important sublinear expectation--G-expectation $\mathbb{E}[\cdot]$. We also give a concrete approximation of a bounded continuous function $X(ω)$ by an increasing sequence of cylinder functions $L_{ip}(Ω)$ in order to prove that $C_{b}(Ω)$ belongs to the $\mathbb{E}[|\cdot|]$-completion of the $L_{ip}(Ω)$.
dc.description12 pages
dc.identifierhttps://arxiv.org/abs/0904.4519
dc.identifierhttp://arxiv.org/abs/0904.4519
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/228886
dc.subjectProbability
dc.subject60H10, 60H05, 60H30, 60E05, 60E07, 62C05, 62D05
dc.titleOn the Representation Theorem of G-Expectations and Paths of G--Brownian Motion
dc.typetext

Files

Collections

arXiv