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

页码：1 / 20

页数：20

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