Stopping times and related Itô's calculus with G-Brownian motion

Xinpeng Li and Shige Peng

Stochastic Processes and their Applications, 2011, vol. 121, issue 7, 1492-1508

Abstract: Under the framework of G-expectation and G-Brownian motion, we introduce Itô's integral for stochastic processes without assuming quasi-continuity. Then we can obtain Itô's integral on stopping time interval. This new formulation permits us to obtain Itô's formula for a general C1,2-function, which essentially generalizes the previous results of Peng (2006, 2008, 2009, 2010, 2010) [21], [22], [23], [24] and [25] as well as those of Gao (2009) [8] and Zhang et al. (2010) [27].

Keywords: G-Brownian; motion; Stopping; time; Ito's; integral; Ito's; formula (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (13)

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