Some properties on GG-evaluation and its applications to GG-martingale decomposition

preprint2010arXivOpen access

Abstract

In this article, a sublinear expectation induced by GG-expectation is introduced, which is called GG-evaluation for convenience. As an application, we prove that any ξ∈LGβ(ΩT)ξ\in L^β_G(Ω_T) with some β>1β>1 the decomposition theorem holds and any β>1β>1 integrable symmetric GG-martingale can be represented as an Ito^′s\hat{o}'s integral w.r.t GG-Brownian motion. As a byproduct, we prove a regular property for GG-martingale: Any GG-martingale {Mt}\{M_t\} has a quasi-continuous version

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