The Construction Of G-Brownian Motion And Relative Financial Application

In this paper we present and prove the invariance principle of G-Brownian motion under the G-framework,which is built in the uncertain circumstance. Furthermore,we offer a small conjecture to illustrate the possible application of the invariance principle in financial realm.With the advent of the seminal work of Artzner,Ph.,F.Delbaen,J.-M.Eber and D.Heath [12], [13],the academic study on coherent risk measures and sublinear expectations has achieved splendid success.Owing to the reference on Rosazza,G.E. [16],we try to show how G-expectations and conditional G-expectations provide some characterizations of dynamic risk measures.