Differentiability of stochastic differential equations driven by the G-Brownian motion

DOI10.1007/S11425-012-4534-4MaRDI QIDQ1955508zbMATH OpenOpenAlexFDO

Authors Qian Lin

Publication date 11 June 2013

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.3158

zbMATH Keywords

\(G\)-Brownian motion\(G\)-expectationdifferentiabilitystochastic differential equations

Mathematics Subject Classification ID

Foundations of stochastic processes (60G05) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this paper, we study the differentiability of solutions of stochastic differential equations driven by the $G$-Brownian motion with respect to the initial data and the parameter. In addition, the stability of solutions of stochastic differential equations driven by the $G$-Brownian motion is obtained.

Cites work

• G-expectation, G-Brownian motion and related stochastic calculus of Itô type
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Law of large numbers and central limit theorem under nonlinear expectations
• Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
• Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and G-Brownian motion
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
• Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion
• Some properties of stochastic differential equations driven by the \(G\)-Brownian motion
• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations

Cited in

(13)

• A generalized stochastic differential utility driven by G-Brownian motion
• On the comparison theorem for multi-dimensional \(G\)-SDEs
• Existence and stability of positive almost periodic solution for stochastic Lasota-Wazewska model
• Reflected stochastic differential equations driven by G-Brownian motion with nonlinear resistance
• Differentiability of stochastic differential equation driven by d-dimensional G-Brownian motion with respect to the initial data
• On the stochastic flow generated by the one default model in one-dimensional case
• Stochastic differential equations driven by G-Brownian motion and ordinary differential equations
• On monotonicity and order-preservation for multidimensional G-diffusion processes
• Differentiability of semigroups of stochastic differential equations with H\"older-continuous diffusion coefficients
• A note on the stochastic differential equations driven by \(G\)-Brownian motion
• Regularity and optimality necessary conditions for system of G-stochastic differential equations
• Differentiability of neutral stochastic differential equations driven by \(G\)-Brownian motion with respect to the initial data
• Differentiability of \(G\)-neutral stochastic differential equations with respect to parameter

This page was built for publication: Differentiability of stochastic differential equations driven by the \(G\)-Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1955508)