Conditional G-expectation in ${\mathbb{L}}^p$ and related Itô's calculus

Abstract

In this paper, we define a dynamically consistent conditional G-expectation in space ${\mathbb{L}}^p$, and give the related stochastic calculus of Itô's type, especially get Itô's formula for a general $C^{1,2}$-function.

arXiv admin note: text overlap with arXiv:1002.4546 by other authors