Frontiers of Mathematics in China >
Multiple G-Itô integral in G-expectation space
Received date: 19 Nov 2010
Accepted date: 06 Jan 2013
Published date: 01 Apr 2013
Copyright
In 2007, Peng introduced Itô integral with respect to G-Brownian motion and the related Itô’s formula in G-expectation space. Motivated by the properties of multiple Wiener integral obtained by Itô in 1951, we introduce multiple G-Itô integral in G-expectation space, and investigate how to calculate it. Furthermore, We establish a relationship between Hermite polynomials and multiple G-Itô integrals.
Key words: Sublinear expectation; G-Brownian motion; Itô integral; Hermite polynomial
Panyu WU . Multiple G-Itô integral in G-expectation space[J]. Frontiers of Mathematics in China, 2013 , 8(2) : 465 -476 . DOI: 10.1007/s11464-013-0288-8
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