Some sample path properties of G-Brownian motion

preprint2014arXivOpen access

Abstract

In this paper, we shall study the basic absolute properties of GG-Brownian motion, i.e., those properties which hold for q.s. ωω. These include the characterization of the zero set and the local maxima of the GG-Brownian motion paths. We also show that the indicator function of GG-Brownian motion is in LG1(Ω)\mathbb{L}_G^1(Ω), which is an useful tool for the study of GG-expectation theory.

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