Stopping Times and Related Itô's Calculus with G-Brownian Motion - Mathematics > ProbabilityReport as inadecuate




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Abstract: Under the framework of G-expectation and G-Brownian motion, we introduceIt\^o-s integral for stochastic processes without assuming quasi-continuity.Then we can obtain It\^o-s integral on stopping time interval. This newformulation permits us to obtain It\^o-s formula for a generalC^{1,2}-function, which essentially generalizes the previous results of Peng20, 21, 22, 23, 24 as well as those of Gao 8 and Zhang et al. 26.



Author: Xinpeng Li, Shige Peng

Source: https://arxiv.org/



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