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• W2953309439 abstract "We develop a notion of nonlinear expectation --G-expectation-- generated by a nonlinear heat equation with infinitesimal generator G. We first study multi-dimensional G-normal distributions. With this nonlinear distribution we can introduce our G-expectation under which the canonical process is a multi dimensional G-Brownian motion. We then establish the related stochastic calculus, especially stochastic integrals of Ito's type with respect to our G-Brownian motion and derive the related Ito's formula. We have also obtained the existence and uniqueness of stochastic differential equation under our G-expectation." @default.
• W2953309439 created "2019-06-27" @default.
• W2953309439 creator A5082334771 @default.
• W2953309439 date "2006-01-28" @default.
• W2953309439 modified "2023-09-26" @default.
• W2953309439 title "Multi-Dimensional G-Brownian Motion and Related Stochastic Calculus under G-Expectation" @default.
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• W2953309439 hasPublicationYear "2006" @default.
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