{
  "id": "1012.0368",
  "version": "v1",
  "published": "2010-12-02T02:13:50.000Z",
  "updated": "2010-12-02T02:13:50.000Z",
  "title": "Multiple G-Itô integral in the G-expectation space",
  "authors": [
    "Panyu Wu"
  ],
  "comment": "9 pages",
  "categories": [
    "math.PR"
  ],
  "abstract": "In this paper, motivated by mathematic finance we introduce the multiple G-It\\^{o} integral in the G-expectation space, then investigate how to calculate. We get the the relationship between Hermite polynomials and multiple G-It\\^{o} integrals which is a natural extension of the classical result obtained by It\\^{o} in 1951.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2010-12-02T02:13:50.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H05"
    ],
    "keywords": [
      "g-expectation space",
      "mathematic finance",
      "hermite polynomials",
      "natural extension"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 9,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2010arXiv1012.0368W"
    }
  }
}