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Start Over Descriptor "60H30" Region lyon (france)
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1. Rough path analysis for local time of G-Brownian motion.

Author

Yan, Litan, Li, Yumiao, and He, Kun

Subjects
*PATH analysis (Statistics), *PATH integrals, *MOTION, *CONTINUOUS functions, *WIENER processes, *BROWNIAN motion
Abstract

Let L = { L (t , x) , t ≥ 0 , x ∈ R } be the local time of a G-Brownian motion B on a sublinear expectation space (Ω , H , E ˆ). In this paper, we show that the local time L is a rough path of roughness p quasi-surely for any 2

Published
2020
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