Multiple G-Itō integral in G-expectation space

DOI10.1007/S11464-013-0288-8zbMATH Open1277.60099arXiv1012.0368OpenAlexW3104576979MaRDI QIDQ373435FDOQ373435

Authors: Panyu Wu 

Publication date: 22 October 2013

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1012.0368

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

zbMATH Keywords

\(G\)-Brownian motionHermite polynomialsublinear expectationItō integral

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Cites Work

• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
• Stopping times and related Itô's calculus with \(G\)-Brownian motion
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• A Girsanov type theorem under G-framework
• Martingale representation theorem for the \(G\)-expectation
• Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
• The multi-dimensional super-replication problem under gamma constraints
• Multiple Wiener integral
• The Homogeneous Chaos
• The multiple stochastic integral

Cited In (3)

• Stopping times and related Itô's calculus with \(G\)-Brownian motion
• Maximal inequalities for iterated integrals under \(G\)-expectation for recurrent event data
• Chaotic expansion in the \(G\)-expectation space

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