Multiple \(G\)-Itō integral in \(G\)-expectation space

DOI10.1007/s11464-013-0288-8zbMath1277.60099arXiv1012.0368OpenAlexW3104576979MaRDI QIDQ373435

Panyu Wu

Publication date: 22 October 2013

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

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

zbMATH Keywords

Hermite polynomial\(G\)-Brownian motionsublinear expectationItō integral

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Cites Work

• Unnamed Item
• Martingale representation theorem for the \(G\)-expectation
• 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
• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• The multi-dimensional super-replication problem under gamma constraints
• Multiple Wiener integral
• A Girsanov Type Theorem Under G-Framework
• The multiple stochastic integral
• Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
• The Homogeneous Chaos

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