Stochastic differential equations driven by G-Brownian motion and ordinary differential equations
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Publication:404602
DOI10.1016/J.SPA.2014.07.004zbMATH Open1296.60154arXiv1309.5232OpenAlexW2048455442MaRDI QIDQ404602FDOQ404602
Publication date: 4 September 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1309.5232
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\(G\)-Brownian motioncomparison theorem[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=%5C%28G%5C%29-It%EF%BF%BD%EF%BF%BD%27s+formula&go=Go \(G\)-It��'s formula]\(G\)-SDE
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
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Cited In (20)
- Reflected stochastic differential equations driven by \(G\)-Brownian motion with nonlinear resistance
- Stochastic differential equations driven by \(G\)-Brownian motion with reflecting boundary conditions
- Delay-dependent asymptotic stability of highly nonlinear stochastic differential delay equations driven by \(G\)-Brownian motion
- Financial asset price bubbles under model uncertainty
- Asymptotical boundedness for stochastic coupled systems on networks with time-varying delay driven by G-Brownian motion
- A note on the stochastic differential equations driven by \(G\)-Brownian motion
- On the comparison theorem for multi-dimensional \(G\)-SDEs
- Practical stability with respect to a part of the variables of stochastic differential equations driven by G-Brownian motion
- Reflected forward-backward stochastic differential equations driven by \(G\)-Brownian motion with continuous monotone coefficients
- A generalized stochastic differential utility driven by \(G\)-Brownian motion
- On the averaging principle for SDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients
- Existence and stability of solutions to highly nonlinear stochastic differential delay equations driven by \(G\)-Brownian motion
- Forward-backward stochastic differential equations driven by \(G\)-Brownian motion
- BSDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients
- Comparison theorem for neutral stochastic functional differential equations driven by \(G\)-Brownian motion
- Stability with respect to a part of the variables of stochastic nonlinear systems 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
- On Monotonicity and Order-Preservation for MultidimensionalG-Diffusion Processes
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