In the talk I'll introduce the Malliavin derivative and the Skorohod integral for G-Brownian motion defined in a sublinear expectation space. The standard results like integration by parts, chain rule and Clark-Ocone formula will be given in this new framework.
Krzystzof Paczka: Malliavin calculus for G-Brownian motion
Krzystzof Paczka, CMA, holder et seminar med tittelen: Malliavin calculus for G-Brownian motion
Published June 12, 2015 1:22 PM
- Last modified June 12, 2015 1:22 PM