Atena EBRAHIMBEYGI, Elham DASTRANJ

G- Brownian motion and Its Applications

ISSN: 2587-2680
Yayın Aralığı: 4
Başlangıç: 2002
Yayıncı: SİVAS CUMHURİYET ÜNİVERSİTESİ > FEN FAKÜLTESİ

Abstract. The concept of G-Brownian motion and G-Ito integral has been introduced by Peng. Also Ito isometry lemma is proved for Ito integral and Brownian motion. In this paper we first investigate the Ito isometry lemma for G-Brownian motion and G-Ito Integral. Then after studying of MG2,0-class functions [4], we introduce Stratonovich integral for G-Brownian motion,say G- Stratonovich integral. Then we present a special construction for G- Stratonovich integral.

Keywords:

G-expectation, G-Brownianmotion, Characterization Ito integral, G-Stratonovich,

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