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arXiv:0912.1515 [math.PR]AbstractReferencesReviewsResources

Local time and Tanaka formula for G-Brownian Motion

Qian Lin

Published 2009-12-08, updated 2012-10-20Version 3

In this paper, we study the notion of local time and 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 It^o's formula with respect to the G-Brownian motion to convex functions.

Comments: 29 pages, "Finance and Insurance-Stochastic Analysis and Practical Methods", Jena, March 06,2009
Journal: Journal of Mathematical Analysis and Applications 398 (2013) 315-334
Categories: math.PR
Subjects: 60H10, 60H05, 60H30
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