Publikation: Stochastic differential equations driven by G-Brownian motion and ordinary differential equations
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2014
Autor:innen
Wang, Falei
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Stochastic Processes and their Applications. 2014, 124(11), pp. 3869-3885. ISSN 0304-4149. eISSN 1879-209X. Available under: doi: 10.1016/j.spa.2014.07.004
Zusammenfassung
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.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
510 Mathematik
Schlagwörter
G-Brownian motion, G-Itô’s formula, G-SDE, Comparison theorem
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LUO, Peng, Falei WANG, 2014. Stochastic differential equations driven by G-Brownian motion and ordinary differential equations. In: Stochastic Processes and their Applications. 2014, 124(11), pp. 3869-3885. ISSN 0304-4149. eISSN 1879-209X. Available under: doi: 10.1016/j.spa.2014.07.004BibTex
@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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<dcterms:abstract xml:lang="eng">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.</dcterms:abstract>
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