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

DOI10.1080/07362994.2014.973966MaRDI QIDQ4981995zbMATH OpenOpenAlexFDO

Authors Peng Luo, Guangyan Jia

Publication date 23 March 2015

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

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

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)

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.

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Cited in

(6)

• Reflected stochastic differential equations driven by G-Brownian motion with nonlinear resistance
• Stochastic ordering by \(g\)-expectations
• scientific article; zbMATH DE number 646669 (Why is no real title available?)
• \( G\)-expectation approach to stochastic ordering
• Comparison theorem for path dependent SDEs driven by \(G\)-Brownian motion
• On order-preservation and positive correlations for multidimensional diffusion processes

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