Local time and Tanaka formula for G-Brownian Motion

Details Local time and Tanaka formula for G-Brownian Motion Local time and Tanaka formula for G-Brownian Motion

2009-12-08

arxiv.org/abs/0912.1515v2

Mathematics

Probability

29 pages, "Finance and Insurance-Stochastic Analysis and Practical Methods", Jena, March 06,2009

Scientific paper

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.

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