- Cumhuriyet Üniversitesi Fen-Edebiyat Fakültesi Fen Bilimleri Dergisi
- Vol: 36 Issue: 3
- G- Brownian motion and Its Applications
G- Brownian motion and Its Applications
Authors : Atena Ebrahimbeygi, Elham Dastranj
Pages : 2242-2246
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Publication Date : 2015-05-13
Article Type : Review
Abstract :Abstract. The concept of G-Brownian motion and G-Ito integral has been introduced by Peng. Also Ito isometry lemma is proved for Ito integral and Brownian motion. In this paper we first investigate the Ito isometry lemma for G-Brownian motion and G-Ito Integral. Then after studying of M G 2,0 -class functions [4], we introduce Stratonovich integral for G-Brownian motion,say G- Stratonovich integral. Then we present a special construction for G- Stratonovich integral.Keywords : G-expectation, G-Brownianmotion, Characterization, Ito integral, G-Stratonovich