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arxiv: 1212.6353 · v1 · pith:DTGAQ7J2new · submitted 2012-12-27 · 🧮 math.PR · math.FA

Integral with respect to the G-Brownian local time

classification 🧮 math.PR math.FA
keywords mathscrbrownianintegrallocalmathbbtimeallowbouleau-yor
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Let ${\mathscr L}$ be the local time of $G$-Brownian motion $B$. In this paper, we prove the existence of the quadratic covariation $<f(B),B>_{t}$ and the integral $\int_{\mathbb R}f(x){\mathscr L}(dx,t)$. Moreover, a sublinear version of the Bouleau-Yor identity $$ \int_{\mathbb R}f(x){\mathscr L}(dx,t)=-<f(B),B>_{t} $$ is showed to hold under some suitable conditions. These allow us to write the It\^o's formula for $C^1$-functions.

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