Stochastic calculus with respect to G-Brownian motion viewed through rough paths

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• 作者：ShiGe Peng ; HuiLin Zhang
• 关键词：rough paths ; roughness of G ; Brownian motion ; Norris lemma
• 刊名：Science China Mathematics
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：60
• 期：1
• 页码：1-20
• 全文大小：323KB
• 刊物类别：Mathematics and Statistics
• 刊物主题：Applications of Mathematics;
• 出版者：Science China Press
• ISSN：1869-1862
• 卷排序：60

文摘

We study rough path properties of stochastic integrals of Itô’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.