Dynkin's formula under the G-expectation

Xiaoyan Chen

Statistics & Probability Letters, 2010, vol. 80, issue 5-6, 519-526

Abstract: In 2006, Peng introduced a new kind of nonlinear expectation--G-expectation (see Peng, 2006). And he also established a theory of stochastic calculus under the G-expectation (see [4], [5] and [7]). In this paper, we will prove a nonlinear Dynkin's formula when the generator of a G-Itô's diffusion is well defined in the framework of the G-expectation.

Date: 2010
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