On the strong Markov property for stochastic differential equations driven by G-Brownian motion

arXiv1708.02186MaRDI QIDQ6289872FDOQ6289872

Authors: Mingshang Hu, Xiaojun Ji, Guomin Liu 

Publication date: 7 August 2017

Abstract: In this paper we study the stochastic differential equations driven by $G$-Brownian motion ($G$-SDEs for short). We extend the notion of conditional $G$-expectation from deterministic time to the more general optional time situation. Then, via this conditional expectation, we develop the strong Markov property for $G$-SDEs. In particular, we obtain the strong Markov property for $G$-Brownian motion. Some applications including the reflection principle for $G$-Brownian motion are also provided.

Mathematics Subject Classification ID

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

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