G-可料过程的It?积分
The It? Integral of G-Predictable Processes
陈焘 1康元宝 1李悦1
作者信息
- 1. 重庆师范大学数学科学学院,重庆 401331
- 折叠
摘要
可料过程是一种重要的随机过程.本文利用非线性随机分析理论方法,提出了 G-可料过程的定义,拟发展次线性期望框架下的可料过程及其相关随机积分,探究了 G-可料过程关于G-布朗运动以及G-布朗运动二次变差的Itô积分,得到了与其相关的若干性质.
Abstract
G-predictable process is an important random process.This paper proposes the definition of G-predictable processes using methods from nonlinear stochastic analysis theory,aiming to develop G-predictable processes and their related stochastic integrals within a sublinear expectation framework.This paper explores the Itô integral of G-predictable processes with respect to G-Brownian motion and the quadratic variation of G-Brownian motion.Further-more,it examines several related properties are also examined
关键词
次线性期望/G-可料过程/Itô积分Key words
sublinear expectation/G-predictable process/Itô integral引用本文复制引用
基金项目
重庆市自然科学基金项目(cstc2019jcyjmsxmX0146)
出版年
2024
NETL
NSTL
万方数据