Stochastic Calculus with respect to G-Brownian Motion Viewed through Rough Paths
Probability
2016-08-24 v4
Abstract
In this paper, we study rough path properties of stochastic integrals of It\^{o}'s type and Stratonovich's type with respect to -Brownian motion. The roughness of -Brownian Motion is estimated and then the pathwise Norris lemma in -framework is obtained.
Keywords
Cite
@article{arxiv.1510.01851,
title = {Stochastic Calculus with respect to G-Brownian Motion Viewed through Rough Paths},
author = {Shige Peng and Huilin Zhang},
journal= {arXiv preprint arXiv:1510.01851},
year = {2016}
}