Integration with respect to the G-Brownian local time

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:424

Article

Yan, Litan^1,2  Sun, Xichao^1,2  Gao, Bo¹ 

[1] Donghua Univ, Dept Math, Shanghai 201620, Peoples R China

[2] Bengbu Univ, Dept Math & Phys, Bengbu 233030, Peoples R China

关键词: Nonlinear expectation;    G-Brownian motion;    Local times;    Young integration;    Quadratic covariation;   

DOI  :  10.1016/j.jmaa.2014.11.046

来源: Elsevier

【 摘 要 】

Let L be the local time of G-Brownian motion B. In this paper, we consider the existence of the quadratic covariation < f(B), B >(t) and the integral integral(R) f(x)L(dx,t). Under some suitable conditions we show that the sublinear version of the Bouleau-Yor identity integral(R) f(x)L(dx,t) = -< f(B), B >(t) holds. These allow us to write the Ito formula for C-1-functions. (C)2014 Elsevier Inc. All rights reserved.

【 授权许可】

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