Publikation: Reflected stochastic differential equations driven by G-Brownian motion with nonlinear resistance
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2016
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Frontiers of Mathematics in China. 2016, 11(1), pp. 123-140. ISSN 1673-3452. eISSN 1673-3576. Available under: doi: 10.1007/s11464-015-0433-7
Zusammenfassung
We study the uniqueness and existence of solutions of reflected G-stochastic differential equations (RGSDEs) with nonlinear resistance under an integral-Lipschitz condition of coefficients. Moreover, we obtain the comparison theorem for RGSDEs with nonlinear resistance.
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Fachgebiet (DDC)
510 Mathematik
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G-Brownian motion, G-expectation, reflected G-stochastic differential equation (RGSDE), nonlinear resistance, comparison theorem
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LUO, Peng, 2016. Reflected stochastic differential equations driven by G-Brownian motion with nonlinear resistance. In: Frontiers of Mathematics in China. 2016, 11(1), pp. 123-140. ISSN 1673-3452. eISSN 1673-3576. Available under: doi: 10.1007/s11464-015-0433-7BibTex
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year={2016},
doi={10.1007/s11464-015-0433-7},
title={Reflected stochastic differential equations driven by G-Brownian motion with nonlinear resistance},
number={1},
volume={11},
issn={1673-3452},
journal={Frontiers of Mathematics in China},
pages={123--140},
author={Luo, Peng}
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