Dynkin's formula under the G-expectation

被引：1

作者：

Chen, Xiaoyan ^{[1
]}

机构：

[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2010年 / 80卷 / 5-6期

关键词：

D O I：

10.1016/j.spl.2009.12.005

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：

In 2006, Peng introduced a new kind of nonlinear expectation-G-expectation (see Peng, 2006). And he also established a theory of stochastic calculus under the G-expectation (see Peng, 2006, 2007a, 2008a). In this paper, we will prove a nonlinear Dynkin's formula when the generator of a G-Ito's diffusion is well defined in the framework of the G-expectation. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：519 / 526

页数：8

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