Multiple G-Ito integral in G-expectation space  

作　　者：Panyu WU 

机构地区：[1]Qilu Securities Institute for Financial Studies, Shandong University, Jinan 250100, China

出　　处：《Frontiers of Mathematics in China》2013年第2期465-476,共12页中国高等学校学术文摘·数学（英文）

摘　　要：In 2007, Peng introduced Ito integral with respect to G-Brownian motion and the related Ito＇s formula in G-expectation space. Motivated by the properties of multiple Wiener integral obtained by Ito in 1951, we introduce multiple G-Ito integral in G-expectation space, and investigate how to calculate it. Furthermore, We establish a relationship between Hermite polynomials and multiple G-Ito integrals.In 2007, Peng introduced Ito integral with respect to G-Brownian motion and the related Ito＇s formula in G-expectation space. Motivated by the properties of multiple Wiener integral obtained by Ito in 1951, we introduce multiple G-Ito integral in G-expectation space, and investigate how to calculate it. Furthermore, We establish a relationship between Hermite polynomials and multiple G-Ito integrals.

关 键 词：Sublinear expectation G-Brownian motion Ito integral Hermite polynomial 

分 类 号：O211.63[理学—概率论与数理统计] O172.2[理学—数学]