Stochastic differential equations driven by G-Brownian motion and ordinary differential equations

Luo, Peng; Wang, Falei

Stochastic differential equations driven by G-Brownian motion and ordinary differential equations

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Date

2014

Authors

Luo, Peng

Wang, Falei

DOI (citable link)

10.1016/j.spa.2014.07.004

Collections

Mathematik und Statistik

Publication type

Journal article

Published in

Stochastic Processes and their Applications ; 124 (2014), 11. - pp. 3869-3885. - ISSN 0304-4149. - eISSN 1879-209X

Abstract

In this paper, we show that the integration of a stochastic differential equation driven by G-Brownian motion (G-SDE for short) in R can be reduced to the integration of an ordinary differential equation (ODE for short) parameterized by a variable in (Ω,F)(Ω,F). By this result, we obtain a comparison theorem for G-SDEs and its applications.

Subject (DDC)

510 Mathematics

Keywords

G-Brownian motion, G-Itô’s formula, G-SDE, Comparison theorem

Cite This

ISO 690

LUO, Peng, Falei WANG, 2014. Stochastic differential equations driven by G-Brownian motion and ordinary differential equations. In: Stochastic Processes and their Applications. 124(11), pp. 3869-3885. ISSN 0304-4149. eISSN 1879-209X. Available under: doi: 10.1016/j.spa.2014.07.004

BibTex

@article{Luo2014Stoch-29304,
  year={2014},
  doi={10.1016/j.spa.2014.07.004},
  title={Stochastic differential equations driven by G-Brownian motion and ordinary differential equations},
  number={11},
  volume={124},
  issn={0304-4149},
  journal={Stochastic Processes and their Applications},
  pages={3869--3885},
  author={Luo, Peng and Wang, Falei}
}

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