In the G-expectation space, we propose the multiple Itô?integral, which is driven by multi-dimensional G-Brownian motion. We prove the recursive relationship of multiple G-Itô?integrals by G-It&#...In the G-expectation space, we propose the multiple Itô?integral, which is driven by multi-dimensional G-Brownian motion. We prove the recursive relationship of multiple G-Itô?integrals by G-Itôformula and mathematical induction, and we obtain some computational formulas for a kind of multiple G-Itô?integrals.展开更多
In 2007, Peng introduced Ito integral with respect to G-Brownian motion and the related Ito's formula in G-expectation space. Motivated by the properties of multiple Wiener integral obtained by Ito in 1951, we introd...In 2007, Peng introduced Ito integral with respect to G-Brownian motion and the related Ito's formula in G-expectation space. Motivated by the properties of multiple Wiener integral obtained by Ito in 1951, we introduce multiple G-Ito integral in G-expectation space, and investigate how to calculate it. Furthermore, We establish a relationship between Hermite polynomials and multiple G-Ito integrals.展开更多
文摘In the G-expectation space, we propose the multiple Itô?integral, which is driven by multi-dimensional G-Brownian motion. We prove the recursive relationship of multiple G-Itô?integrals by G-Itôformula and mathematical induction, and we obtain some computational formulas for a kind of multiple G-Itô?integrals.
文摘In 2007, Peng introduced Ito integral with respect to G-Brownian motion and the related Ito's formula in G-expectation space. Motivated by the properties of multiple Wiener integral obtained by Ito in 1951, we introduce multiple G-Ito integral in G-expectation space, and investigate how to calculate it. Furthermore, We establish a relationship between Hermite polynomials and multiple G-Ito integrals.