关键词: $G$-expectation, $G$-supermartingale, upcrossing inequality

Abstract: In this paper, we study the martingale inequalities under $G$-expectation and their applications. To this end, we introduce a new kind of random time, called $G$-stopping time, and then investigate the properties of a $G$-martingale (supermartingale) such as the optional sampling theorem and upcrossing inequalities. With the help of these properties, we can show the martingale convergence property under $G$-expectation.

Key words: $G$-expectation, $G$-supermartingale, upcrossing inequality