Multiple G-Itô integral in the G-expectation space

Details Multiple G-Itô integral in the G-expectation space Multiple G-Itô integral in the G-expectation space

2010-12-02

arxiv.org/abs/1012.0368v1

Mathematics

Probability

9 pages

Scientific paper

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.

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