Fractional Stochastic Differential Equations Driven By G-Brownian Motion with Delays

DOI10.37190/0208-4147.00092MaRDI QIDQ6192090zbMATH OpenOpenAlexFDO

Authors Amel Redjil, Hacène Boutabia, Omar Kebiri

Publication date 12 February 2024

Published in Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.37190/0208-4147.00092

zbMATH Keywords

\(G\)-Brownian motionaveraging principlefractional calculusnon-linear expectation

Mathematics Subject Classification ID

Averaging method for ordinary differential equations (34C29) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65) Stochastic integrals (60H05) Stochastic integral equations (60H20)

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Cites work

• G-expectation, G-Brownian motion and related stochastic calculus of Itô type
• A generalized Gronwall inequality and its application to a fractional differential equation
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• An averaging principle for fractional stochastic differential equations with Lévy noise
• Existence and stability results for Caputo fractional stochastic differential equations with Lévy noise
• Existence and uniqueness of solutions for stochastic differential equations of fractional-order \(q > 1\) with finite delays
• Existence of solutions for fractional stochastic impulsive neutral functional differential equations with infinite delay
• Existence result for fractional neutral stochastic integro-differential equations with infinite delay
• Existence results for an impulsive neutral stochastic fractional integro-differential equation with infinite delay
• Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and G-Brownian motion
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
• On the averaging principle for SDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients
• Sufficient conditions for existence and uniqueness of fractional stochastic delay differential equations
• The averaging principle for stochastic differential equations with Caputo fractional derivative
• The averaging principle of Hilfer fractional stochastic delay differential equations with Poisson jumps

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