Some sample path properties of G-Brownian motion (1407.0211v3)

Abstract: 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.