Stopping times and related Itô's calculus with \(G\)-Brownian motion (Q550162)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stopping times and related Itô's calculus with \(G\)-Brownian motion |
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Stopping times and related Itô's calculus with \(G\)-Brownian motion (English)
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8 July 2011
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Using the notions of nonlinear expectations, \(G\)-Brownian motions, and \(G\)-expectations, the authors introduce some general notion of Itô's integral for stochastic processes without quasi-continuity. This is in particular done for intervals defined by stopping times. This extends former results of Peng, Gao, Zhang and others.
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nonlinear expectations
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\(G\)-Brownian motion
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\(G\)-expectation
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Itô calculus
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stopping times
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