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
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