Conditional G-expectation in $\mathbb{L}^{p}$ and related It\^o's calculus

Yulian Fan

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arXiv · 1302.6001

Conditional G-expectation in $\mathbb{L}^{p}$ and related It\^o's calculus

Yulian Fan

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Abstract

In this paper, we define a dynamically consistent conditional G-expectation in space $\mathbb{L}^{p}$, and give the related stochastic calculus of It\^o's type, especially get It\^o's formula for a general $C^{1,2}$-function.

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Yulian Fan. 2013-02-25. Conditional G-expectation in $\mathbb{L}^{p}$ and related It\^o's calculus. https://arxiv.org/abs/1302.6001

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