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Probability Seminar: Hilbert transform of G-Brownian local time

Monday, 14 October, 2013

ABSTRACT: Motivated by various types of uncertainty and financial
problems, Peng introduced nonlinear expectation, the so-called
G-expectation. In this talk, as an extension to the classical result, we present a generalized Ito formula (the sublinear version of Yamada's formula) under G-expectation and, as a natural result, show that the function, {mathcal C}_t(a):={rm v.p.}int_0^tfrac{1}{B_s-a}dlangle Brangle_s,quad ain {mathbb R},;tgeq 0,  coincides with the Hilbert transform of the local time of G-Brownian motion.


Ayres Hall
Room 111
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Knoxville, TN 37996

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