Conditional G-expectation in $\mathbb{L}^{p}$ and related It\^o's calculus
Probability
2013-02-26 v1
Abstract
In this paper, we define a dynamically consistent conditional G-expectation in space , and give the related stochastic calculus of It\^o's type, especially get It\^o's formula for a general -function.
Cite
@article{arxiv.1302.6001,
title = {Conditional G-expectation in $\mathbb{L}^{p}$ and related It\^o's calculus},
author = {Yulian Fan},
journal= {arXiv preprint arXiv:1302.6001},
year = {2013}
}
Comments
arXiv admin note: text overlap with arXiv:1002.4546 by other authors