Approximation theorem for stochastic differential equations driven by G-Brownian motion

DOI10.1007/978-3-0348-0097-6_6MaRDI QIDQ2909976zbMATH OpenOpenAlexFDO

Authors Fuqing Gao, Hui Jiang

Publication date 7 September 2012

Published in Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0097-6_6

zbMATH Keywords

\(G\)-Brownian motion\(G\)-expectationstochastic differential equationsapproximation theorem

Mathematics Subject Classification ID

Large deviations (60F10) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

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Cites work

• scientific article; zbMATH DE number 4161806 (Why is no real title available?)
• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 49190 (Why is no real title available?)
• scientific article; zbMATH DE number 3403582 (Why is no real title available?)
• Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Large deviations for stochastic differential equations driven by \(G\)-Brownian motion
• 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 to solutions of stochastic differential equations
• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type

Cited in

(8)

• The Carathéodory approximation scheme for stochastic differential equations with G‐Lévy process
• Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion
• Pathwise convergence under Knightian uncertainty
• Stability theorem for stochastic differential equations driven by \(G\)-Brownian motion
• Successive approximation of SFDEs with finite delay driven by \(G\)-Brownian motion
• Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations
• On the existence and stability of solutions of stochastic differential systems driven by the \(G\)-Brownian motion
• Existence of solutions for G-SFDEs with Cauchy-Maruyama approximation scheme

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