On the existence and uniqueness of solutions to stochastic differential equations driven by \(G\)-Brownian motion with integral-Lipschitz coefficients (Q477470): Difference between revisions

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The authors study the existence and uniqueness of solutions for a class of stochastic differential equations with so-called integral-Lipschitz coefficients (see, for example, [\textit{Y. Hu} and \textit{N. Lerner}, J. Math. Kyoto Univ. 42, No. 3, 579--598 (2002; Zbl 1037.60060)]). The main results are given in Theorem 3.7, Theorem 3.8 and Theorem 4.2. These results are obtained using a technique similar to that given by Hu and Lerner [loc. cit.]. The authors' results extend some similar results given by \textit{S.-G. Peng} [in: F. E. Benth (ed.) et al., Stochastic analysis and applications. The Abel symposium 2005. Proceedings of the second Abel symposium, Oslo, Norway, July 29 -- August 4, 2005, held in honor of Kiyosi Itō. Berlin: Springer. 541--567 (2007; Zbl 1131.60057)], \textit{F.-Q. Gao} [Stochastic Processes Appl. 119, No. 10, 3356--3382 (2009; Zbl 1176.60043)], \textit{M.-S. Hu} et al. [Stochastic Processes Appl. 124, No. 1, 759--784 (2014; Zbl 1300.60074)] and \textit{S.-Z. Fang} and \textit{T.-S. Zhang} [Probab. Theory Relat. Fields 132, No. 3, 356--390 (2005; Zbl 1081.60043)].
Property / review text: The authors study the existence and uniqueness of solutions for a class of stochastic differential equations with so-called integral-Lipschitz coefficients (see, for example, [\textit{Y. Hu} and \textit{N. Lerner}, J. Math. Kyoto Univ. 42, No. 3, 579--598 (2002; Zbl 1037.60060)]). The main results are given in Theorem 3.7, Theorem 3.8 and Theorem 4.2. These results are obtained using a technique similar to that given by Hu and Lerner [loc. cit.]. The authors' results extend some similar results given by \textit{S.-G. Peng} [in: F. E. Benth (ed.) et al., Stochastic analysis and applications. The Abel symposium 2005. Proceedings of the second Abel symposium, Oslo, Norway, July 29 -- August 4, 2005, held in honor of Kiyosi Itō. Berlin: Springer. 541--567 (2007; Zbl 1131.60057)], \textit{F.-Q. Gao} [Stochastic Processes Appl. 119, No. 10, 3356--3382 (2009; Zbl 1176.60043)], \textit{M.-S. Hu} et al. [Stochastic Processes Appl. 124, No. 1, 759--784 (2014; Zbl 1300.60074)] and \textit{S.-Z. Fang} and \textit{T.-S. Zhang} [Probab. Theory Relat. Fields 132, No. 3, 356--390 (2005; Zbl 1081.60043)]. / rank
 
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Property / reviewed by
 
Property / reviewed by: Romeo Negrea / rank
 
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 60H10 / rank
 
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Property / zbMATH DE Number
 
Property / zbMATH DE Number: 6378530 / rank
 
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Property / zbMATH Keywords
 
stochastic differential equations
Property / zbMATH Keywords: stochastic differential equations / rank
 
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Property / zbMATH Keywords
 
\(G\)-Brownian motion
Property / zbMATH Keywords: \(G\)-Brownian motion / rank
 
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Property / zbMATH Keywords
 
integral-Lipschitz coefficients
Property / zbMATH Keywords: integral-Lipschitz coefficients / rank
 
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Property / zbMATH Keywords
 
backward stochastic differential equations
Property / zbMATH Keywords: backward stochastic differential equations / rank
 
Normal rank

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On the existence and uniqueness of solutions to stochastic differential equations driven by \(G\)-Brownian motion with integral-Lipschitz coefficients
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    On the existence and uniqueness of solutions to stochastic differential equations driven by \(G\)-Brownian motion with integral-Lipschitz coefficients (English)
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    9 December 2014
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    The authors study the existence and uniqueness of solutions for a class of stochastic differential equations with so-called integral-Lipschitz coefficients (see, for example, [\textit{Y. Hu} and \textit{N. Lerner}, J. Math. Kyoto Univ. 42, No. 3, 579--598 (2002; Zbl 1037.60060)]). The main results are given in Theorem 3.7, Theorem 3.8 and Theorem 4.2. These results are obtained using a technique similar to that given by Hu and Lerner [loc. cit.]. The authors' results extend some similar results given by \textit{S.-G. Peng} [in: F. E. Benth (ed.) et al., Stochastic analysis and applications. The Abel symposium 2005. Proceedings of the second Abel symposium, Oslo, Norway, July 29 -- August 4, 2005, held in honor of Kiyosi Itō. Berlin: Springer. 541--567 (2007; Zbl 1131.60057)], \textit{F.-Q. Gao} [Stochastic Processes Appl. 119, No. 10, 3356--3382 (2009; Zbl 1176.60043)], \textit{M.-S. Hu} et al. [Stochastic Processes Appl. 124, No. 1, 759--784 (2014; Zbl 1300.60074)] and \textit{S.-Z. Fang} and \textit{T.-S. Zhang} [Probab. Theory Relat. Fields 132, No. 3, 356--390 (2005; Zbl 1081.60043)].
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    stochastic differential equations
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    \(G\)-Brownian motion
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    integral-Lipschitz coefficients
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    backward stochastic differential equations
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