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

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DOI: 10.4236/jamp.2018.611186    477 Downloads   872 Views  
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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.

Conflicts of Interest

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

Cite this paper

Liu, F. (2018) Some Important Properties of Multiple G-Itô Integral in the G-Expectation Space. Journal of Applied Mathematics and Physics, 6, 2219-2226. doi: 10.4236/jamp.2018.611186.

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