The support of the solution for stochastic differential equations driven by \(G\)-Brownian motion

DOI10.1007/s10114-012-0726-7zbMath1267.60061MaRDI QIDQ1941305

Ming Zhou Xu, Fu Qing Gao

Publication date: 12 March 2013

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-012-0726-7

zbMATH Keywords

support theorem; \(G\)-Brownian motion; \(G\)-stochastic differential equation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

60G20: Generalized stochastic processes

Related Items

How small are the increments of \(G\)-Brownian motion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
• Martingale representation theorem for the \(G\)-expectation
• Large deviations for stochastic differential equations driven by \(G\)-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
• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
• The support of the solution to a hyperbolic SPDE
• Hölder norms and the support theorem for diffusions
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Large deviations and support theorem for diffusion processes via rough paths.