Stochastic Calculus with respect to G-Brownian Motion Viewed through Rough Paths

2015/10/31 by Shige Peng, Huilin Zhang · 2 citations
Mathematics · #math.PR

paper · pdf · doi:10.1007/s11425-016-0171-4

arxiv created 2016/08/23 · arxiv updated 2016/08/24

Abstract

In this paper, we study rough path properties of stochastic integrals of Itô's type and Stratonovich's type with respect to G-Brownian motion. The roughness of G-Brownian Motion is estimated and then the pathwise Norris lemma in G-framework is obtained.

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