On distribution dependent stochastic differential equations driven by G-Brownian motion

arXiv2302.12539MaRDI QIDQ6427508FDOQ6427508

Authors: De Sun, Jiang-Lun Wu, Panyu Wu 

Publication date: 24 February 2023

Abstract: Distribution dependent stochastic differential equations have been a very hot subject with extensive studies. On the other hand, under the $G$-expectation framework, stochastic differential equations driven by $G$-Brownian motion (in short form, $G$-SDEs) have received increasing attentions, and the existence and uniqueness of solutions to $G$-SDEs under Lipschitz and non-Lipschitz conditions have been obtained. Based on these studies, it is very natural and also important to investigate the $G$-SDEs which are also distribution dependent. In this paper, we are concerned with the well-posedness of the distribution dependent $G$-SDEs. To this end, we first introduce a proper distance of the involved distribution functions and propose a new formulation of the distribution dependent $G$-SDEs. Then, by utilising fix point argument, we establish existence and uniqueness of the solutions of distributed dependent $G$-SDEs under Lipschitz condition. Finally, we derive certain estimates for the solutions of the distribution dependent $G$-SDEs.

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