Integration with respect to the \(G\)-Brownian local time
From MaRDI portal
Publication:482726
DOI10.1016/j.jmaa.2014.11.046zbMath1310.60068arXiv1212.6353MaRDI QIDQ482726
Publication date: 6 January 2015
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1212.6353
Related Items
Rough path analysis for local time of G-Brownian motion, Stability of delayed Hopfield neural networks under a sublinear expectation framework, Lévy's martingale characterization and reflection principle of \(G\)-Brownian motion
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- 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
- Local time rough path for Lévy processes
- Local time and Tanaka formula for the \(G\)-Brownian motion
- Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
- On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
- Integration with respect to local time
- Quadratic covariation and an extension of Itô's formula
- Ito formula for \(C^ 1\)-functions of semimartingales
- Some remarks on local time-space calculus
- Local time-space stochastic calculus for Lévy processes
- Two-parameter \(p,q\)-variation paths and integrations of local times
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- A change-of-variable formula with local time on curves
- An inequality of the Hölder type, connected with Stieltjes integration
- The Malliavin Calculus and Related Topics
- Generalized Itǒ Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times
- Quadratic covariation and Itô's formula for smooth nondegenerate martingales
