Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation

Stochastic Processes and their Applications

Volumn 118, Issue 12, 2008, Pages 2223-2253

  Peng, Shige ^a  

^a SHANDONG UNIVERSITY   (China)

Author keywords

Brownian motion; BSDE; G convexity; g expectation; G expectation; G normal distribution; Gaussian process; It 's formula; It 's integral; It 's stochastic calculus; Jensen's inequality; Nonlinear expectation; Nonlinear probability theory; Quadratic variation process; SDE

Indexed keywords

CALCULATIONS; DIFFERENTIAL EQUATIONS; DIFFERENTIATION (CALCULUS); EQUATIONS OF MOTION; MATHEMATICAL TECHNIQUES; NONLINEAR EQUATIONS; NORMAL DISTRIBUTION; PROBABILITY DISTRIBUTIONS;

BROWNIAN MOTION; BSDE; G-CONVEXITY; G-EXPECTATION; G-NORMAL DISTRIBUTION; GAUSSIAN PROCESS; JENSEN'S INEQUALITY; NONLINEAR EXPECTATION; NONLINEAR PROBABILITY THEORY; QUADRATIC VARIATION PROCESS; SDE;

BROWNIAN MOVEMENT;

EID: 55649091647     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2007.10.015     Document Type: Article

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