Stochastic calculus with respect to G-Brownian motion viewed through rough paths

被引：5
|
作者：
Peng ShiGe [1 ]
Zhang HuiLin [2 ]
机构：
[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China
[2] Shandong Univ, Inst Adv Res, Jinan 250100, Peoples R China
来源：
SCIENCE CHINA-MATHEMATICS | 2017年 / 60卷 / 01期
基金：
中国国家自然科学基金;
关键词：
rough paths; roughness of G-Brownian motion; Norris lemma; DIFFERENTIAL-EQUATIONS DRIVEN; G-EXPECTATION; PRINCIPLE; THEOREM;
D O I：
10.1007/s11425-016-0171-4
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We study rough path properties of stochastic integrals of It's type and Stratonovich's type with respect to G-Brownian motion. The roughness of G-Brownian motion is estimated and then the pathwise Norris lemma in G-framework is obtained.
引用
收藏
页码：1 / 20
页数：20
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