Skip to main content
Book Chapter

G-Brownian Motion and Itô’s Calculus

Springer Nature, (2019), 49-89
DOI: 10.1007/978-3-662-59903-7_3
2Citations
Citations of this article
5Readers
Mendeley users who have this article in their library.
Get full text

Abstract

The aim of this chapter is to introduce the concept of G-Brownian motion, study its properties and construct Itô’s integral with respect to G-Brownian motion. We emphasize here that this G-Brownian motion Bt, t≥ 0 is consistent with the classical one.

Cite

CITATION STYLE

APA

Peng, S. (2019). G-Brownian Motion and Itô’s Calculus. In Probability Theory and Stochastic Modelling (Vol. 95, pp. 49–89). Springer Nature. https://doi.org/10.1007/978-3-662-59903-7_3

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free