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

DOI10.1007/978-3-0348-0097-6_6zbMATH Open1252.60027OpenAlexW79553770MaRDI QIDQ2909976FDOQ2909976

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

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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)

Cites Work

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• \(G\)-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
• Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
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• Martingale characterization of \(G\)-Brownian motion
• Successive approximations to solutions of stochastic differential equations
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• Large deviations for stochastic differential equations driven by \(G\)-Brownian motion
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• Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications

Cited In (4)

• Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations
• The Carathéodory approximation scheme for stochastic differential equations with G‐Lévy process
• Stability theorem for stochastic differential equations driven by \(G\)-Brownian motion
• Successive approximation of SFDEs with finite delay driven by \(G\)-Brownian motion

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