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Keywords: g –expectation, G –expectation, G –normal distribution, BSDE, SDE, nonlinear probability theory, nonlinear expectation, Brownian motion, Itˆo’s stochastic calculus,
the squared dyadic diaphony of digital (0, 1)-sequences over Z 2 satisfies a central limit theorem (Corollary 2.4).. This formula shows that the dyadic diaphony is
But the Malliavin calculus for Gaussian processes can be adapted to it, Skorohod stochastic integrals can be defined, and it will allow us to derive an Itˆ o formula when the
We show how to use the Malliavin calculus to obtain a new exact formula for the density ρ of the law of any random variable Z which is measurable and differentiable with respect to
Keywords Brownian bridge, Brownian excursion, Brownian scaling, local time, Bessel process, zeros of Bessel functions, Riemann zeta function.. AMS subject classification 60J65,
A central limit theorem for random walk in a random environment on marked Galton-Watson trees.. Gabriel
Keywords Wiener space, Sobolev space, Stochastic integral, Fractional Brownian Motion, Itˆ o’s formula.. AMS Subject Classification (1991)
Keywords and phrases: Level crossings, fractional Brownian motion, limit theo- rem, local time, rate of convergence.. AMS subject classification (2000): Primary 60F05; Secondary
