Approximation Theorem for Stochastic Differential Equations Driven by G-Brownian Motion

DOI10.1007/978-3-0348-0097-6_6zbMath1252.60027MaRDI QIDQ2909976

Hui Jiang, Fu Qing Gao

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

stochastic differential equations; \(G\)-Brownian motion; \(G\)-expectation; approximation theorem

Mathematics Subject Classification ID

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

60J65: Brownian motion

60F10: Large deviations

60H05: Stochastic integrals

Cites Work

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• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation