G- Brownian motion and Its Applications

Authors : Atena EBRAHIMBEYGI, Elham DASTRANJ

Pages : 2242-2246

View : 52 | Download : 12

Publication Date : 2015-05-13

Article Type : Review Paper

Abstract :Abstract. The concept of G-Brownian motion and G-Ito integral has been introduced by Peng. Also Ito isometry lemma is proved for Ito integral and Brownian motion. In this paper we first investigate the Ito isometry lemma for G-Brownian motion and G-Ito Integral. Then after studying of M G 2,0 -class functions [4], we introduce Stratonovich integral for G-Brownian motion,say G- Stratonovich integral. Then we present a special construction for G- Stratonovich integral. 
Keywords : G expectation, G Brownianmotion, Characterization, Ito integral, G Stratonovich

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