Abstract
We study rough path properties of stochastic integrals of Itô’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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Acknowledgements
This work was supported by National Natural Science Foundation of China (Grant No. 10921101) and the Programme of Introducing Talents of Discipline to Universities of China (Grant No. B12023). The authors thank valuable suggestions of Dr. Falei Wang to this paper.
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Dedicated to Professor LI TaTsien on the Occasion of His 80th Birthday
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Peng, S., Zhang, H. Stochastic calculus with respect to G-Brownian motion viewed through rough paths. Sci. China Math. 60, 1–20 (2017). https://doi.org/10.1007/s11425-016-0171-4
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DOI: https://doi.org/10.1007/s11425-016-0171-4