Local time and Tanaka formula for G-Brownian Motion
arXiv:0912.1515 · doi:10.1016/j.jmaa.2012.09.001
Abstract
In this paper, we study the notion of local time and Tanaka formula for the G-Brownian motion. Moreover, the joint continuity of the local time of the G-Brownian motion is obtained and its quadratic variation is proven. As an application, we generalize It^o's formula with respect to the G-Brownian motion to convex functions.
29 pages, "Finance and Insurance-Stochastic Analysis and Practical Methods", Jena, March 06,2009