Stochastic calculus with respect to G-Brownian motion viewed through rough paths
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Publication:2360844
Abstract: In this paper, we study rough path properties of stochastic integrals of It^{o}'s type and Stratonovich's type with respect to -Brownian motion. The roughness of -Brownian Motion is estimated and then the pathwise Norris lemma in -framework is obtained.
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Cited in
(11)- Sample path properties of G-Brownian motion
- Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion
- Delay-dependent asymptotic stability of highly nonlinear stochastic differential delay equations driven by G-Brownian motion
- Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs
- \(G\)-Brownian motion as rough paths and differential equations driven by \(G\)-Brownian motion
- Stochastic motion under \(G\)-framework. II: Kinematics
- Steady small-disturbance transonic dense gas flow past two-dimensional compression/expansion ramps
- Rough path analysis for local time of G-Brownian motion
- How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost
- Multiple G-Stratonovich integral in G-expectation space
- Multi-dimensional fractional Brownian motion in the G-setting
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