Conditional G-expectation in \mathbbL^p and related Itô's calculus

2013/02/25 by Fan, Yulian
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1302.6001

Abstract

In this paper, we define a dynamically consistent conditional G-expectation in space \mathbbL^p, and give the related stochastic calculus of Itô's type, especially get Itô's formula for a general C^1,2-function.

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