Local time and Tanaka formula for the G-Brownian motion

Lin Q (2013)
Journal Of Mathematical Analysis And Applications 398(1): 315-334.

Zeitschriftenaufsatz | Veröffentlicht| Englisch
 
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Abstract / Bemerkung
In this paper, we study the notion of local time and obtain the Tanaka formula for the G-Brownian motion. Moreover, the joint continuity of the local time of the G-Brownian motion is obtained and its quadratic variation is proven. As an application, we generalize the Ito formula with respect to the G-Brownian motion to convex functions. (C) 2012 Elsevier Inc. All rights reserved.
Stichworte
variation; Quadratic; Tanaka formula; Local time; G-expectation; G-Brownian motion
Erscheinungsjahr
2013
Zeitschriftentitel
Journal Of Mathematical Analysis And Applications
Band
398
Ausgabe
1
Seite(n)
315-334
ISSN
0022-247X
Page URI
https://pub.uni-bielefeld.de/record/2548344

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Lin Q. Local time and Tanaka formula for the G-Brownian motion. Journal Of Mathematical Analysis And Applications. 2013;398(1):315-334.
Lin, Q. (2013). Local time and Tanaka formula for the G-Brownian motion. Journal Of Mathematical Analysis And Applications, 398(1), 315-334. doi:10.1016/j.jmaa.2012.09.001
Lin, Q. (2013). Local time and Tanaka formula for the G-Brownian motion. Journal Of Mathematical Analysis And Applications 398, 315-334.
Lin, Q., 2013. Local time and Tanaka formula for the G-Brownian motion. Journal Of Mathematical Analysis And Applications, 398(1), p 315-334.
Q. Lin, “Local time and Tanaka formula for the G-Brownian motion”, Journal Of Mathematical Analysis And Applications, vol. 398, 2013, pp. 315-334.
Lin, Q.: Local time and Tanaka formula for the G-Brownian motion. Journal Of Mathematical Analysis And Applications. 398, 315-334 (2013).
Lin, Qian. “Local time and Tanaka formula for the G-Brownian motion”. Journal Of Mathematical Analysis And Applications 398.1 (2013): 315-334.

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