On monotonicity and order-preservation for multidimensional G-diffusion processes

DOI10.1080/07362994.2014.973966zbMATH Open1310.60085arXiv1402.4633OpenAlexW1974459846MaRDI QIDQ4981995FDOQ4981995

Authors: Peng Luo, Guangyan Jia 

Publication date: 23 March 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Abstract: In this paper, we prove a comparison theorem for multidimensional G-SDEs. Moreover we obtain respectively the sufficient conditions and necessary conditions of the monotonicity and order-preservation for two multidimensional G-diffusion processes. Finally, we give some applications.

Full work available at URL: https://arxiv.org/abs/1402.4633

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zbMATH Keywords

monotonicitycomparison theorem\(G\)-SDEorder preservation\(G\)-diffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (6)

• Reflected stochastic differential equations driven by \(G\)-Brownian motion with nonlinear resistance
• Stochastic ordering by \(g\)-expectations
• Title not available (Why is that?)
• Comparison theorem for path dependent SDEs driven by \(G\)-Brownian motion
• \( G\)-expectation approach to stochastic ordering
• On order-preservation and positive correlations for multidimensional diffusion processes

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