English

Integral with respect to the $G$-Brownian local time

Probability 2013-01-01 v1 Functional Analysis

Abstract

Let L{\mathscr L} be the local time of GG-Brownian motion BB. In this paper, we prove the existence of the quadratic covariation <f(B),B>t<f(B),B>_{t} and the integral Rf(x)L(dx,t)\int_{\mathbb R}f(x){\mathscr L}(dx,t). Moreover, a sublinear version of the Bouleau-Yor identity Rf(x)L(dx,t)=<f(B),B>t \int_{\mathbb R}f(x){\mathscr L}(dx,t)=-<f(B),B>_{t} is showed to hold under some suitable conditions. These allow us to write the It\^o's formula for C1C^1-functions.

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Cite

@article{arxiv.1212.6353,
  title  = {Integral with respect to the $G$-Brownian local time},
  author = {Litan Yan and Xichao Sun and Bo Gao},
  journal= {arXiv preprint arXiv:1212.6353},
  year   = {2013}
}

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24 pages