Multiple G-Itô integral in the G-expectation space
arXiv:1012.0368 · doi:10.1007/s11464-013-0288-8
Abstract
In this paper, motivated by mathematic finance we introduce the multiple G-Itô integral in the G-expectation space, then investigate how to calculate. We get the the relationship between Hermite polynomials and multiple G-Itô integrals which is a natural extension of the classical result obtained by Itô in 1951.
9 pages