Stochastic differential equations driven by G-Brownian motion and ordinary differential equations

DOI10.1016/J.SPA.2014.07.004MaRDI QIDQ404602zbMATHOpenAlexFDO

Authors Falei Wang, Peng Luo

Publication date 4 September 2014

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.5232

zbMATH Keywords

\(G\)-Brownian motioncomparison theorem\(G\)-SDE\(G\)-Itô's formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: In this paper, we show that the integration of a stochastic differential equations driven by G-Brownian motion in R can be reduced to the integration of an ordinary differential equations parametrized by a variable in ({Omega},F). We study the sample solutions of G-SDEs by an extention of G-It^o formula. And then we also get a comparison theorem for G-SDEs and its applications.

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Cites work

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• Some properties of stochastic differential equations driven by the \(G\)-Brownian motion
• Stochastic differential equations driven by \(G\)-Brownian motion with reflecting boundary conditions
• Stopping times and related Itô's calculus with \(G\)-Brownian motion
• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
• Wellposedness of second order backward SDEs

Cited in

(21)

• Approximation theorem for stochastic differential equations driven by \(G\)-Brownian motion
• Forward-backward stochastic differential equations driven by \(G\)-Brownian motion
• Delay-dependent asymptotic stability of highly nonlinear stochastic differential delay equations driven by \(G\)-Brownian motion
• Stability with respect to a part of the variables of stochastic nonlinear systems driven by G-Brownian motion
• On monotonicity and order-preservation for multidimensional \(G\)-diffusion processes
• A generalized stochastic differential utility driven by \(G\)-Brownian motion
• On the comparison theorem for multi-dimensional \(G\)-SDEs
• Financial asset price bubbles under model uncertainty
• On the averaging principle for SDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients
• Practical stability with respect to a part of the variables of stochastic differential equations driven by G-Brownian motion
• BSDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients
• Reflected forward-backward stochastic differential equations driven by \(G\)-Brownian motion with continuous monotone coefficients
• Stochastic differential equations driven by \(G\)-Brownian motion with reflecting boundary conditions
• A note on the stochastic differential equations driven by \(G\)-Brownian motion
• Asymptotical boundedness for stochastic coupled systems on networks with time-varying delay driven by \(G\)-Brownian motion
• Reflected stochastic differential equations driven by \(G\)-Brownian motion with nonlinear resistance
• Comparison theorem for neutral stochastic functional differential equations driven by \(G\)-Brownian motion
• The support of the solution for stochastic differential equations driven by \(G\)-Brownian motion
• Delay feedback stabilisation of stochastic differential equations driven by \(G\)-Brownian motion
• Reflected stochastic differential equations driven by \(G\)-Brownian motion in non-convex domains
• Existence and stability of solutions to highly nonlinear stochastic differential delay equations driven by \(G\)-Brownian motion

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