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Multi-Dimensional G-Brownian Motion and Related Stochastic Calculus under G-Expectation

Shige Peng
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Abstract

We develop a notion of nonlinear expectation --G-expectation-- generated by a nonlinear heat equation with infinitesimal generator G. We first study multi-dimensional G-normal distributions. With this nonlinear distribution we can introduce our G-expectation under which the canonical process is a multi dimensional G-Brownian motion. We then establish the related stochastic calculus, especially stochastic integrals of Ito's type with respect to our G-Brownian motion and derive the related Ito's formula. We have also obtained the existence and uniqueness of stochastic differential equation under our G-expectation.

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BibTeXRIS

Shige Peng. 2007-01-10. Multi-Dimensional G-Brownian Motion and Related Stochastic Calculus under G-Expectation. https://arxiv.org/abs/math/0601699

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