G-Expectation, G-brownian motion and related stochastic calculus of itô type

Stochastic Analysis and Applications: The Abel Symposium 2005 - Proceedings of the 2nd Abel Symposium, Held in Honor of Kiyosi Ito

Volumn , Issue , 2007, Pages 541-567

  Peng, Shige ^a  

^a SHANDONG UNIVERSITY   (China)

Author keywords

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

Indexed keywords

BROWNIAN MOVEMENT; CALCULATIONS; DIFFERENTIAL EQUATIONS; INTEGRAL EQUATIONS; NONLINEAR EQUATIONS; NORMAL DISTRIBUTION;

BSDE; G-EXPECTATION; GAUSSIAN PROCESSES; NONLINEAR EXPECTATION; PROBABILITY THEORY; QUADRATIC VARIATIONS; STOCHASTIC CALCULUS;

STOCHASTIC SYSTEMS;

EID: 84883606894     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1007/978-3-540-70847-6_25     Document Type: Conference Paper

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