Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion
We study pathwise properties and homeomorphic property with respect to the initial values for stochastic differential equations driven by G-Brownian motion. We first present a Burkholder-Davis-Gundy inequality and an extension of Itô's formula for the G-stochastic integrals. Some moment estimates and Hölder continuity of the G-stochastic integrals and the solutions of stochastic differential equations with Lipschitzian coefficients driven by G-Brownian motion are obtained. Homeomorphic property with respect to the initial values is also established.
Year of publication: |
2009
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Authors: | Gao, Fuqing |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 119.2009, 10, p. 3356-3382
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Publisher: |
Elsevier |
Keywords: | G-Brownian motion G-stochastic differential equation BDG inequality Ito's-formula Moment estimate Holder continuity Homeomorphic flow |
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