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arXiv · 1204.4077

A variational representation for G-Brownian functionals

Emi Osuka
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Abstract

The purpose of this paper is to establish a variational representation \log \E [e^{f(B)}] = \sup_h \E [f(B + \int_0^{\cdot} d _s h_s) - 1/2 \int_0^1 h_s \cdot (d _s h_s)] for functionals of the d-dimensional G-Brownian motion B. Here \E is a sublinear expectation called G-expectation, f is any bounded function in the domain of \E mapping C([0,1];\R^d) to \R, the integrals are taken with respect to the quadratic variation of B, and the supremum runs over all h's for which these integrals are well-defined. As an application, we give another proof of the results obtained by Gao-Jiang (2010), large deviations for G-Brownian motion.

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Emi Osuka. 2012-04-18. A variational representation for G-Brownian functionals. https://arxiv.org/abs/1204.4077

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