Chaotic expansion in the G-expectation space

• Autorzy: Boutabia H. , Grabsia I.
• Języki publikacji: EN

Abstrakty

EN

In this paper, we are motivated by uncertainty problems in volatility. We prove the equivalent theorem of Wiener chaos with respect to G-Brownian motion in the framework of a sublinear expectation space. Moreover, we establish some relationship between Hermite polynomials and G-stochastic multiple integrals. An equivalent of the orthogonality of Wiener chaos was found.

Słowa kluczowe

EN

G-expectation; G-Brownian motion; G-multiple integrals; Hermite polynomials; G-Wiener chaos

• Wydawca: AGH University of Science and Technology Press
• Czasopismo: Opuscula Mathematica
• Rocznik: 2013
• Tom: Vol. 33, no. 4
• Strony: 647--666
• Opis fizyczny: Bibliogr. 13 poz.

Twórcy

autor

Boutabia H.

• Laboratoire LaPS, Département de Mathématiques Faculté des Sciences,Université Badji Mokhtar Annaba 23000, Algéria

autor

Grabsia I.

• Département de Mathématiques, Faculté des Sciences Université Badji Mokhtar-Annaba 23000, Algéria

Bibliografia

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