Hilbert transform of \(G\)-Brownian local time (Q6486916)

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scientific article; zbMATH DE number 6370583
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Hilbert transform of \(G\)-Brownian local time
scientific article; zbMATH DE number 6370583

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    Hilbert transform of \(G\)-Brownian local time (English)
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    18 November 2014
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    Based on the authors' abstract: In this paper, the authors consider a \(G\)-Brownian motion \(B\) and the integrals NEWLINE\[NEWLINE \int_0^t \frac{1}{B_s-a}d\langle B\rangle_s, \;a \in \mathbb{R}, \;t \geq 0,NEWLINE\]NEWLINE for which they show that the limit NEWLINE\[NEWLINE {\mathcal C}_t(a) = \lim_{ \varepsilon \downarrow 0} \int_0^t \mathbb{I}_{ \{ |B_s -a | > \varepsilon \}} \frac{1}{B_s-a} d\langle B\rangle_s NEWLINE\]NEWLINE exists in \(\mathbb{L}^2\). As a result, they get a sublinear version of Yamada's formula NEWLINE\[NEWLINE B_t \ln |B_t| - B_t = \int_0^t \ln |B_s|\,dB_s + \frac{1}{2} {\mathcal C}_t(0). NEWLINE\]
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    \(G\)-Brownian motion
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    sublinear expectation
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    local time
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    Itō formula
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    Cauchy's principal value
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