Girsanov's formula for \(G\)-Brownian motion

DOI10.1016/j.spa.2012.12.009zbMath1293.60081arXiv1106.2387OpenAlexW2084082076MaRDI QIDQ1939341

Emi Osuka

Publication date: 4 March 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.2387

zbMATH Keywords

Girsanov transformation\(G\)-Brownian motion\(G\)-expectation\(G\)-martingaleupper expectationsublinear expectation space

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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