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arXiv · 1012.0368

Multiple G-It\^{o} integral in the G-expectation space

Panyu Wu
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Abstract

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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BibTeXRIS

Panyu Wu. 2010-12-02. Multiple G-It\^{o} integral in the G-expectation space. https://doi.org/10.1007/s11464-013-0288-8

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