Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
نویسندگان
چکیده
منابع مشابه
Multi-Dimensional G–Brownian Motion and Related Stochastic Calculus under G–Expectation
We develop a notion of nonlinear expectation —-G–expectation—generated by a nonlinear heat equation with infinitesimal generator G. We first study multi-dimensional G–normal distributions. With this nonlinear distribution we can introduce our G–expectation under which the canonical process is a multi–dimensional G–Brownian motion. We then establish the related stochastic calculus, especially st...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2008
ISSN: 0304-4149
DOI: 10.1016/j.spa.2007.10.015