Girsanov Theorem for G-Brownian Motion: The Degenerate Case

In this paper, we prove the Girsanov theorem for G -Brownian motion without the non-degenerate condition. The proof is based on the perturbation method in the nonlinear setting by constructing a product space of the G -expectation space and a linear space that contains a standard Brownian motion. Th...

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Veröffentlicht in:Journal of theoretical probability 2021-03, Vol.34 (1), p.125-140
1. Verfasser: Liu, Guomin
Format: Artikel
Sprache:eng
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Zusammenfassung:In this paper, we prove the Girsanov theorem for G -Brownian motion without the non-degenerate condition. The proof is based on the perturbation method in the nonlinear setting by constructing a product space of the G -expectation space and a linear space that contains a standard Brownian motion. The estimates for exponential martingales of G -Brownian motion are important for our arguments.
ISSN:0894-9840
1572-9230
DOI:10.1007/s10959-020-00997-z