Local time and Tanaka formula for the \(G\)-Brownian motion (Q691837)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Local time and Tanaka formula for the \(G\)-Brownian motion |
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Local time and Tanaka formula for the \(G\)-Brownian motion (English)
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4 December 2012
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Based on the work of S. Peng, the author studies certain nonlinear heat equations depending on some function \(G\) as well as the associated nonlinear expectation, called \(G\)-expectation. For the associated so-called \(G\)-Brownian motion, local times and the Tanaka formula are considered. In particular, the joint continuity of local times is shown, and the quadratic variation and the Itō-formula are studied.
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\(G\)-expectation
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nonlinear heat equation
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\(G\)-Brownian motion
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Tanaka formula
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local time
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quadratic variation
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