A Complex Version of G-Expectation and its Application to Conformal Martingale

2015/02/10 by Huilin Zhang, Zhang, Huilin
Economics, Econometrics and Finance · Mathematics · #30A99 #60G46 #60G48 #60H05 #FOS: Mathematics #G.3 #Mathematical Approximation and Integration #Numerical methods in inverse problems #Probability (math.PR) #Stochastic processes and financial applications #acm:30A99 #acm:60G46 #acm:60G48 #acm:60H05 #math.PR #msc:30A99 #msc:60G46 #msc:60G48 #msc:60H05

paper · pdf · doi:10.48550/arxiv.1502.02787

arxiv created 2015/02/10 · openalex publication_date 2015/02/10 · arxiv updated 2015/02/11 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28

Abstract

This paper is concerned with the connection between G-Brownian Motion and analytic functions. We introduce the complex version of sublinear expectation, and then do the stochastic analysis in this framework. Furthermore, the conformal G-Brownian Motion is introduced together with a representation, and the corresponding conformal invariance is shown.

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