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Probability Seminar: Hilbert transform of G-Brownian local time


SPEAKER: Bo Gao
 
 
ABSTRACT: Motivated by various types of uncertainty and financial
problems, Peng introduced nonlinear expectation, the so-called
G-expectation. In this talk, as an extension to the classical result, we present a generalized Ito formula (the sublinear version of Yamada's formula) under G-expectation and, as a natural result, show that the function, {mathcal C}_t(a):={rm v.p.}int_0^tfrac{1}{B_s-a}dlangle Brangle_s,quad ain {mathbb R},;tgeq 0,  coincides with the Hilbert transform of the local time of G-Brownian motion.

Monday, 14 October, 2013


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Phone: 974-2463

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