Integral with respect to the $G$-Brownian local time
Probability
2013-01-01 v1 Functional Analysis
Abstract
Let be the local time of -Brownian motion . In this paper, we prove the existence of the quadratic covariation and the integral . Moreover, a sublinear version of the Bouleau-Yor identity is showed to hold under some suitable conditions. These allow us to write the It\^o's formula for -functions.
Keywords
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}
}
Comments
24 pages