Kunita-Watanabe inequalities and Tanaka formula for multi-dimensional G-Brownian motion
type: Item
instance of: scholarly article
title: Kunita-Watanabe inequalities and Tanaka formula for multi-dimensional G-Brownian motion
zbMATH Open document ID: 1237.91144
author: Defei Zhang
author: Ping He
author: Xinsong Yang
published in: Applied Mathematics and Computation
publication date: 2011-03-08T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 60J70
zbMATH DE Number: 5862515
zbMATH Keywords: mutual variation process
zbMATH Keywords: Tanaka formula
zbMATH Keywords: Kunita-Watanabe inequalities
zbMATH Keywords: G-Brownian motion
MaRDI profile type: Publication
full work available at URL: j.amc.2010.12.059
OpenAlex ID: W2007404330
cites work: Q5436616
cites work: Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
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cites work: On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
cites work: Martingale characterization of \(G\)-Brownian motion
cites work: On Square Integrable Martingales
cites work: Pricing and hedging derivative securities in markets with uncertain volatilities
cites work: Coherent measures of risk
DOI: 10.1016/J.AMC.2010.12.059
description: scientific article; zbMATH DE number 5862515