Kunita-Watanabe inequalities and Tanaka formula for multi-dimensional G-Brownian motion

DOI10.1016/J.AMC.2010.12.059MaRDI QIDQ628946zbMATH OpenOpenAlexFDO

Authors Defei Zhang, Ping He, Xinsong Yang

Publication date 8 March 2011

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2010.12.059

zbMATH Keywords

G-Brownian motionKunita-Watanabe inequalitiesmutual variation processTanaka formula

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial applications of other theories (91G80)

Cites work

• G-expectation, G-Brownian motion and related stochastic calculus of Itô type
• Coherent measures of risk
• Martingale characterization of \(G\)-Brownian motion
• Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
• On Square Integrable Martingales
• Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion
• Pricing and hedging derivative securities in markets with uncertain volatilities

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