Local time and Tanaka formula for G-Brownian Motion

Abstract

In this paper, we study the notion of local time and Tanaka formula for the G-Brownian motion. Moreover, the joint continuity of the local time of the G-Brownian motion is obtained and its quadratic variation is proven. As an application, we generalize It^o's formula with respect to the G-Brownian motion to convex functions.

29 pages, "Finance and Insurance-Stochastic Analysis and Practical Methods", Jena, March 06,2009

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Cited by in corpus (5)

• Lévy's martingale characterization and reflection principle of $G$-Brownian motion
• Stochastic differential equations driven by G-Brownian motion and ordinary differential equations
• Integral with respect to the $G$-Brownian local time
• Local time and Tanaka formula of $G$-martingales
• A Note on $G$- Optimal Stopping Problems