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

preprint2016arXivOpen access

Abstract

In this paper, we study rough path properties of stochastic integrals of Itô's type and Stratonovich's type with respect to GG-Brownian motion. The roughness of GG-Brownian Motion is estimated and then the pathwise Norris lemma in GG-framework is obtained.

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