Stochastic calculus with respect to G-Brownian motion viewed through rough paths
We study rough path properties of stochastic integrals of Ito’s type and Stratonovich’s type with respect to G-Brownian motion. The roughness of G-Brownian motion is estimated and then the pathwise Norris lemma in G-framework is obtained.
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| Veröffentlicht in: | 中国科学：数学英文版 2017 (1), p.1-20 |
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| Format: | Artikel |
| Sprache: | eng |
| Online-Zugang: | Volltext |
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| Zusammenfassung: | We study rough path properties of stochastic integrals of Ito’s type and Stratonovich’s type with respect to G-Brownian motion. The roughness of G-Brownian motion is estimated and then the pathwise Norris lemma in G-framework is obtained. |
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| ISSN: | 1674-7283 1869-1862 |