On the comparison theorem for multi-dimensional G-SDEs

In this paper, we establish a viability result for stochastic differential equations (SDEs) driven by a multi-dimensional G-Brownian motion. Then we obtain a sufficient and necessary condition for comparison theorem of multi-dimensional G-SDEs by an equivalent criterion of viability condition for G-SDEs.

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Year of publication:	2015
Authors:	Luo, Peng ; Wang, Falei
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 96.2015, C, p. 38-44
Publisher:	Elsevier
Subject:	Viability property \| G-stochastic differential equations \| Comparison theorem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011115952