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arxiv: 1407.0211 · v3 · pith:56LKOGKUnew · submitted 2014-07-01 · 🧮 math.PR

Some sample path properties of G-Brownian motion

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

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