Chaotic expansion in the G-expectation space

DOI10.7494/OPMATH.2013.33.4.647zbMATH Open1286.60052MaRDI QIDQ2864641FDOQ2864641

Authors: Hacène Boutabia, Imen Grabsia 

Publication date: 26 November 2013

Published in: Opuscula Mathematica (Search for Journal in Brave)

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zbMATH Keywords

\(G\)-Brownian motion\(G\)-expectationHermite polynomials\(G\)-multiple integrals\(G\)-Wiener chaos

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (3)

• Multiple \(G\)-Itō integral in \(G\)-expectation space
• Expansion of the density: A Wiener-chaos approach
• Stochastic differential equations for orthogonal eigenvectors of (G,ε)-Wishart process related to multivariate G-fractional Brownian motion

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