Stochastic differential equations driven by G-Brownian motion and ordinary differential equations
Stochastic differential equations driven by G-Brownian motion and ordinary differential equations
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Date
2014
Authors
Wang, Falei
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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.
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510 Mathematics
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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. 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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