TITLE:
Two Theorems of Multiple G-Itô Integral under G-Lévy Process
AUTHORS:
Hong Zheng, Yifei Xin
KEYWORDS:
G-Brownian Motion, G-Lévy Process, G-Itô Formula
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.10 No.2,
February
9,
2022
ABSTRACT: In this paper, according to G-Brownian motion and other related concepts and properties, we define multiple Itô integrals driven by G-Brownian motion and G-Lévy process. By using the G-Itô formula and the properties of G-expectation, two main theorems about Itô integral are obtained and proved. These two theorems provide powerful help for the subsequent research on jump process.