Uniqueness of the representation for G-martingales with finite variation

Abstract

Letting {δ n} be a refining sequence of Rademacher functions on the interval [0; T], we introduce a functional on processes in the G-expectation space by We prove that d(K)>0 if K t=∫ t0η sds with η ∈ M 1G(0,T). This implies the uniqueness of the representation for G-martingales with finite variation, which is the main purpose of this article.