TITLE:
Some Important Properties of Multiple G-Itô Integral in the G-Expectation Space
AUTHORS:
Fangyuan Liu, Yang Li
KEYWORDS:
G-Brownian Motion, Multiple G-Itô Integrals, G-Itô Formula, Recursive Relationship
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.6 No.11,
November
13,
2018
ABSTRACT: In the G-expectation space, we propose the multiple Itôintegral, which is driven by multi-dimensional G-Brownian motion. We prove the recursive relationship of multiple G-Itôintegrals by G-Itôformula and mathematical induction, and we obtain some computational formulas for a kind of multiple G-Itôintegrals.