Properties of hitting times for GG-martingale

preprint2010arXivOpen access

Abstract

In this article, we consider the properties of hitting times for GG-martingale and the stopped processes. We prove that the stopped processes for GG-martingales are still GG-martingales and that the hitting times for a class of GG-martingales including GG-Brownian motion are quasi-continuous. As an application, we improve the GG-martingale representation theorems in [Song10].

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