| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 6418951 | Journal of Mathematical Analysis and Applications | 2013 | 20 Pages |
Abstract
In this paper, we study the notion of local time and obtain the Tanaka formula for the G-Brownian motion. Moreover, the joint continuity of the local time of the G-Brownian motion is obtained and its quadratic variation is proven. As an application, we generalize the Itô formula with respect to the G-Brownian motion to convex functions.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Qian Lin,