Title of article :
Local time and Tanaka formula for the -Brownian motion
Author/Authors :
Lin، نويسنده , , Qian، نويسنده ,
Issue Information :
دوهفته نامه با شماره پیاپی سال 2013
Pages :
20
From page :
315
To page :
334
Abstract :
In this paper, we study the notion of local time and obtain the Tanaka formula for the G -Brownian motion. Moreover, the joint continuity of the local time of the G -Brownian motion is obtained and its quadratic variation is proven. As an application, we generalize the Itô formula with respect to the G -Brownian motion to convex functions.
Keywords :
Local time , Quadratic variation , Tanaka formula , G -Brownian motion , g -expectation
Journal title :
Journal of Mathematical Analysis and Applications
Serial Year :
2013
Journal title :
Journal of Mathematical Analysis and Applications
Record number :
1563225
Link To Document :
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