A variational representation for G-Brownian functionals

Details A variational representation for G-Brownian functionals A variational representation for G-Brownian functionals

2012-04-18

arxiv.org/abs/1204.4077v1

Mathematics

Probability

Scientific paper

The purpose of this paper is to establish a variational representation \log \E [e^{f(B)}] = \sup_h \E [f(B + \int_0^{\cdot} d_s h_s) - 1/2 \int_0^1 h_s \cdot (d_s h_s)] for functionals of the d-dimensional G-Brownian motion B. Here \E is a sublinear expectation called G-expectation, f is any bounded function in the domain of \E mapping C([0,1];\R^d) to \R, the integrals are taken with respect to the quadratic variation of B, and the supremum runs over all h's for which these integrals are well-defined. As an application, we give another proof of the results obtained by Gao--Jiang (2010), large deviations for G-Brownian motion.