Kunita–Watanabe inequalities and Tanaka formula for multi‐dimensional G‐Brownian motion

Kunita–Watanabe inequalities and Tanaka formula for multi‐dimensional G‐Brownian motion

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Article ID: iaor20113317
Volume: 217
Issue: 12
Start Page Number: 5774
End Page Number: 5783
Publication Date: Feb 2011
Journal: Applied Mathematics and Computation
Authors: , ,
Keywords: Brownian motion
Abstract:

In this paper, some new properties and interesting estimations of mutual variation process for G‐Brownian motion are presented, Kunita–Watanabe inequalities and Tanaka formula for multi‐dimensional G‐Brownian motion are also obtained.

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