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

Abstract

In this paper, 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.

References in corpus (1)

• Donsker's invariance principle under the sub-linear expectation with an application to Chung's law of the iterated logarithm

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