Chaotic expansion in the G-expectation space

DOI10.7494/OPMATH.2013.33.4.647zbMath1286.60052MaRDI QIDQ2864641

Hacène Boutabia, Imen Grabsia

Publication date: 26 November 2013

Published in: Opuscula Mathematica (Search for Journal in Brave)

zbMATH Keywords

Hermite polynomials\(G\)-Brownian motion\(G\)-expectation\(G\)-multiple integrals\(G\)-Wiener chaos

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)

Related Items (1)

Stochastic differential equations for orthogonal eigenvectors of (G,ε)-Wishart process related to multivariate G-fractional Brownian motion

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