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arXiv · 1806.03565

Local time and Tanaka formula of $G$-martingales

Guomin Liu
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Abstract

The objective of this paper is to study the local time and Tanaka formula of symmetric $G$-martingales. We introduce the local time of $G$-martingales and show that they belong to $G$-expectation space $L_{G}^{2}(\Omega _{T})$. The bicontinuous modification of local time is obtained. We finally give the Tanaka formula for convex functions of $G$-martingales.

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Guomin Liu. 2018-06-10. Local time and Tanaka formula of $G$-martingales. https://arxiv.org/abs/1806.03565

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