Multiple G-Itō integral in G-expectation space
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Abstract: In this paper, motivated by mathematic finance we introduce the multiple G-It^{o} integral in the G-expectation space, then investigate how to calculate. We get the the relationship between Hermite polynomials and multiple G-It^{o} integrals which is a natural extension of the classical result obtained by It^{o} in 1951.
Recommendations
- \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
- Stopping times and related Itô's calculus with \(G\)-Brownian motion
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- Chaotic expansion in the \(G\)-expectation space
- Extension and Application of Itô's Formula UnderG-Framework
Cites work
- A Girsanov type theorem under G-framework
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Martingale representation theorem for the \(G\)-expectation
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- Multiple Wiener integral
- On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
- Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
- Stopping times and related Itô's calculus with \(G\)-Brownian motion
- Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
- The Homogeneous Chaos
- The multi-dimensional super-replication problem under gamma constraints
- The multiple stochastic integral
- \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
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