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arXiv · 1510.01851

Stochastic Calculus with respect to G-Brownian Motion Viewed through Rough Paths

Shige Peng·Huilin Zhang
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Abstract

In this paper, we study rough path properties of stochastic integrals of Itô's type and Stratonovich's type with respect to $G$-Brownian motion. The roughness of $G$-Brownian Motion is estimated and then the pathwise Norris lemma in $G$-framework is obtained.

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Shige Peng, Huilin Zhang. 2016-08-23. Stochastic Calculus with respect to G-Brownian Motion Viewed through Rough Paths. https://doi.org/10.1007/s11425-016-0171-4

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