Publikation: On the comparison theorem for multi-dimensional G-SDEs
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Datum
2015
Autor:innen
Wang, Falei
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Statistics & Probability Letters. 2015, 96, pp. 38-44. ISSN 0167-7152. eISSN 1879-2103. Available under: doi: 10.1016/j.spl.2014.09.010
Zusammenfassung
In this paper, we establish a viability result for stochastic differential equations (SDEs) driven by a multi-dimensional GG-Brownian motion. Then we obtain a sufficient and necessary condition for comparison theorem of multi-dimensional GG-SDEs by an equivalent criterion of viability condition for GG-SDEs.
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Fachgebiet (DDC)
510 Mathematik
Schlagwörter
Viability property, GG-stochastic differential equations, Comparison theorem
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LUO, Peng, Falei WANG, 2015. On the comparison theorem for multi-dimensional G-SDEs. In: Statistics & Probability Letters. 2015, 96, pp. 38-44. ISSN 0167-7152. eISSN 1879-2103. Available under: doi: 10.1016/j.spl.2014.09.010BibTex
@article{Luo2015compa-30910,
year={2015},
doi={10.1016/j.spl.2014.09.010},
title={On the comparison theorem for multi-dimensional G-SDEs},
volume={96},
issn={0167-7152},
journal={Statistics & Probability Letters},
pages={38--44},
author={Luo, Peng and Wang, Falei}
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