The cocycle property of stochastic differential equations driven by G-Brownian motion

DOI10.1007/S11401-014-0869-1MaRDI QIDQ2261968zbMATH OpenOpenAlexFDO

Authors Huijie Qiao

Publication date 13 March 2015

Published in Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11401-014-0869-1

zbMATH Keywords

\(G\)-Brownian motioncocycle propertynon-Lipschitz conditionstochastic differential equations

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

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Cites work

• Exponential ergodicity of non-Lipschitz stochastic differential equations
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Lévy Processes and Stochastic Calculus
• Martingale characterization of \(G\)-Brownian motion
• Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
• Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion
• SUCCESSIVE APPROXIMATIONS OF INFINITE DIMENSIONAL SDES WITH JUMP
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(8)

• Perfect cocycles through stochastic differential equations
• Some properties of stochastic differential equations driven by the \(G\)-Brownian motion
• Exponential stability of solutions to stochastic differential equations driven by \(G\)-Lévy process
• Path independence of the additive functionals for stochastic differential equations driven by \(G\)-Lévy processes
• Homeomorphism flows for SDEs driven by G-Brownian motion with non-Lipschitz coefficients
• Stability analysis for a class of stochastic delay nonlinear systems driven by G-Lévy process
• Quasi-sure exponential stabilization of stochastic systems driven by G-Lévy process with discrete time feedback control
• A note for discrete time feedback control for stochastic systems driven by G-Brownian motion

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