Local time and Tanaka formula for the \(G\)-Brownian motion (Q691837)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6112316
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Local time and Tanaka formula for the \(G\)-Brownian motion |
scientific article; zbMATH DE number 6112316 |
Statements
Local time and Tanaka formula for the \(G\)-Brownian motion (English)
0 references
4 December 2012
0 references
Based on the work of S. Peng, the author studies certain nonlinear heat equations depending on some function \(G\) as well as the associated nonlinear expectation, called \(G\)-expectation. For the associated so-called \(G\)-Brownian motion, local times and the Tanaka formula are considered. In particular, the joint continuity of local times is shown, and the quadratic variation and the Itō-formula are studied.
0 references
\(G\)-expectation
0 references
nonlinear heat equation
0 references
\(G\)-Brownian motion
0 references
Tanaka formula
0 references
local time
0 references
quadratic variation
0 references
0 references
0 references
0 references
0.878885805606842
0 references
0.8549637198448181
0 references
0.8417986631393433
0 references
0.8124322295188904
0 references
0.8103346228599548
0 references
