Functional solution about stochastic differential equation driven by \(G\)-Brownian motion
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Publication:480048
DOI10.3934/DCDSB.2015.20.281zbMath1309.60064OpenAlexW2321273752MaRDI QIDQ480048
Publication date: 8 December 2014
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdsb.2015.20.281
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic integrals (60H05)
Related Items (5)
On stability of large-scale \(G\)-SDEs: a decomposition approach ⋮ Stability analysis of impulsive stochastic Cohen–Grossberg neural networks driven by G-Brownian motion ⋮ Quasi-sure exponential stability and stabilisation of stochastic delay differential equations under G-expectation framework ⋮ Exponential stability of SDEs driven by \(G\)-Brownian motion with delayed impulsive effects: average impulsive interval approach ⋮ Asymptotical boundedness for stochastic coupled systems on networks with time-varying delay driven by G-Brownian motion
Cites Work
- Martingale representation theorem for the \(G\)-expectation
- Stopping times and related Itô's calculus with \(G\)-Brownian motion
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
- Martingale characterization of \(G\)-Brownian motion
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- On stochastic differential equations
- Stochastic differential equations. An introduction with applications.
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