This paper considers the nonlinear theory of G-martingales as introduced by Peng in [16, 17]. A martingale … representation theorem for this theory is proved by using the techniques and the results established in [20] for the second order …

finance ; variance-optimal martingale measure …

An equivalent sigma-martingale measure (EsigmaMM) for a given stochastic process S is a probability measure R … equivalent to the original measure P such that S is an R-sigma-martingale. Existence of an EsigmaMM is equivalent to a classical … only a local integrability requirement. sigma-martingale ; equivalent martingale measures ; Jacod decomposition …