Publikation: On Monotonicity and Order-Preservation for Multidimensional G-Diffusion Processes
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2015
Autor:innen
Jia, Guangyan
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Stochastic Analysis and Applications. 2015, 33(1), pp. 67-90. ISSN 0736-2994. eISSN 1532-9356. Available under: doi: 10.1080/07362994.2014.973966
Zusammenfassung
In this article, we prove a comparison theorem for multidimensional stochastic differential equations driven by G-Brownian motion (G-SDEs, for short). Moreover, we obtain respectively the sufficient conditions and necessary conditions of the monotonicity and order-preservation for two multidimensional G-diffusion processes. Finally, we give some applications.
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Fachgebiet (DDC)
510 Mathematik
Schlagwörter
G-diffusion processes, G-SDE, Comparison theorem, Monotonicity, Order preservation, Primary 60H10, 60H30, Secondary 35K55
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LUO, Peng, Guangyan JIA, 2015. On Monotonicity and Order-Preservation for Multidimensional G-Diffusion Processes. In: Stochastic Analysis and Applications. 2015, 33(1), pp. 67-90. ISSN 0736-2994. eISSN 1532-9356. Available under: doi: 10.1080/07362994.2014.973966BibTex
@article{Luo2015Monot-30697,
year={2015},
doi={10.1080/07362994.2014.973966},
title={On Monotonicity and Order-Preservation for Multidimensional G-Diffusion Processes},
number={1},
volume={33},
issn={0736-2994},
journal={Stochastic Analysis and Applications},
pages={67--90},
author={Luo, Peng and Jia, Guangyan}
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