Abstract
The main purpose of this article is to study the symmetric martingale property and capacity defined by G-expectation introduced by Peng (cf. <a href="http://arxiv.org/PS_cache/math/pdf/0601/0601035v2.pdf">http://arxiv.org/PS_cache/math/pdf/0601/0601035v2.pdf</a>) in 2006. We show that the G-capacity can not be dynamic, and also demonstrate the relationship between symmetric G-martingale and the martingale under linear expectation. Based on these results and path-wise analysis, we obtain the martingale characterization theorem for G Brownian motion without Markovian assumption. This theorem covers the Levy's martingale characterization theorem for Brownian motion, and it also gives a different method to prove Levy's theorem.
Citation
Jing Xu. Bo Zhang. "Martingale Property and Capacity under G-Framework." Electron. J. Probab. 15 2041 - 2068, 2010. https://doi.org/10.1214/EJP.v15-832
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