arXiv:1806.03565 [math.PR]AbstractReferencesReviewsResources
Local time and Tanaka formula of $G$-martingales
Published 2018-06-10Version 1
The objective of this paper is to study the local time and Tanaka formula of symmetric $G$-martingales. We introduce the local time of $G$-martingales and show that they belong to $G$-expectation space $L_{G}^{2}(\Omega _{T})$. The bicontinuous modification of local time is obtained. We finally give the Tanaka formula for convex functions of $G$-martingales.
Categories: math.PR
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