Chaotic expansion in the G-expectation space
In this paper, we are motivated by uncertainty problems in volatility. We prove the equivalent theorem of Wiener chaos with respect to \(G\)-Brownian motion in the framework of a sublinear expectation space. Moreover, we establish some relationship between Hermite polynomials and \(G\)-stochastic mu...
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Veröffentlicht in: | Rocznik Akademii Górniczo-Hutniczej im. Stanisława Staszica. Opuscula Mathematica 2013, Vol.33 (4), p.647-666 |
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Format: | Artikel |
Sprache: | eng |
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Zusammenfassung: | In this paper, we are motivated by uncertainty problems in volatility. We prove the equivalent theorem of Wiener chaos with respect to \(G\)-Brownian motion in the framework of a sublinear expectation space. Moreover, we establish some relationship between Hermite polynomials and \(G\)-stochastic multiple integrals. An equivalent of the orthogonality of Wiener chaos was found. |
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ISSN: | 1232-9274 |
DOI: | 10.7494/OpMath.2013.33.4.647 |