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arXiv · 1407.0211

Some sample path properties of G-Brownian motion

Falei Wang·Guoqiang Zheng
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Abstract

In this paper, we shall study the basic absolute properties of $G$-Brownian motion, i.e., those properties which hold for q.s. $ω$. These include the characterization of the zero set and the local maxima of the $G$-Brownian motion paths. We also show that the indicator function of $G$-Brownian motion is in $\mathbb{L}_G^1(Ω)$, which is an useful tool for the study of $G$-expectation theory.

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Falei Wang, Guoqiang Zheng. 2014-10-05. Some sample path properties of G-Brownian motion. https://arxiv.org/abs/1407.0211

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