Stopping times and related Ito's calculus with G-Brownian motion

被引：129
作者：
Li, Xinpeng [1 ]
Peng, Shige [1 ]
机构：
[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2011年 / 121卷 / 07期
基金：
中国国家自然科学基金;
关键词：
G-Brownian motion; Stopping time; Ito's integral; Ito's formula; STOCHASTIC CALCULUS;
D O I：
10.1016/j.spa.2011.03.009
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Under the framework of G-expectation and G-Brownian motion, we introduce Ito's integral for stochastic processes without assuming quasi-continuity. Then we can obtain Ito's integral on stopping time interval. This new formulation permits us to obtain Ito's formula for a general C-1,C-2-function, which essentially generalizes the previous results of Peng (2006, 2008, 2009, 2010, 2010) [21-25] as well as those of Gao (2009) [8] and Zhang et al. (2010) [27]. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：1492 / 1508
页数：17
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