22 citations · 61 across the 10 of their papers we have counts for
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math.PR2015★ 1 cited
Wong-Zakai Approximation for SDEs Driven by Brownian Motion
Shige Peng, Huilin Zhang
In this paper, we build the equivalence between rough differential equations driven by the lifted -Brownian motion and the corresponding Stratonovich type SDE through the Wong-Z…
math.PR2015★ 20 cited
Stochastic Calculus with respect to G-Brownian Motion Viewed through Rough Paths
Shige Peng, Huilin Zhang
In this paper, we study rough path properties of stochastic integrals of Itô's type and Stratonovich's type with respect to -Brownian motion. The roughness of -Brownian Motio…
math.PR2015★ 1 cited
A Complex Version of G-Expectation and its Application to Conformal Martingale
Huilin Zhang
This paper is concerned with the connection between G-Brownian Motion and analytic functions. We introduce the complex version of sublinear expectation, and then do the stochastic…