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
Hauptverfasser: Boutabia, Hacène, Grabsia, Imen
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.
ISSN:1232-9274
DOI:10.7494/OpMath.2013.33.4.647