Some Important Properties of Multiple G-Itô Integral in the G-Expectation Space

Fangyuan Liu, Yang Li

University of Shanghai for Science and Technology, Shanghai, China.

DOI: 10.4236/jamp.2018.611186                

Abstract

In the G-expectation space, we propose the multiple Itô integral, which is driven by multi-dimensional G-Brownian motion. We prove the recursive relationship of multiple G-Itô integrals by G-Itô formula and mathematical induction, and we obtain some computational formulas for a kind of multiple G-Itô integrals.

Keywords

G-Brownian Motion, Multiple G-Itô Integrals, G-Itô Formula, Recursive Relationship

Conflicts of Interest

The authors declare no conficts of interest regarding the publication of this paper.

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