Multiple G-It\^{o} integral in the G-expectation space
Probability
2021-07-02 v1
Abstract
In this paper, motivated by mathematic finance we introduce the multiple G-It\^{o} integral in the G-expectation space, then investigate how to calculate. We get the the relationship between Hermite polynomials and multiple G-It\^{o} integrals which is a natural extension of the classical result obtained by It\^{o} in 1951.
Cite
@article{arxiv.1012.0368,
title = {Multiple G-It\^{o} integral in the G-expectation space},
author = {Panyu Wu},
journal= {arXiv preprint arXiv:1012.0368},
year = {2021}
}
Comments
9 pages