Local time and Tanaka formula for G-Brownian Motion
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 Ito's formula with respect to the G-Brownian motion to convex functions.
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