Stochastic Calculus with respect to G-Brownian Motion Viewed through Rough Paths

Published 7 Oct 2015 in math.PR | (1510.01851v4)

Abstract: In this paper, we study rough path properties of stochastic integrals of It^{o}'s type and Stratonovich's type with respect to $G$-Brownian motion. The roughness of $G$-Brownian Motion is estimated and then the pathwise Norris lemma in $G$-framework is obtained.

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