Stochastic differential equations driven by G-Brownian motion and ordinary differential equations

In this paper, we show that the integration of a stochastic differential equation driven by G-Brownian motion (G-SDE for short) in R can be reduced to the integration of an ordinary differential equation (ODE for short) parameterized by a variable in (Ω,F). By this result, we obtain a comparison theorem forG-SDEs and its applications.

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Year of publication:	2014
Authors:	Luo, Peng ; Wang, Falei
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 11, p. 3869-3885
Publisher:	Elsevier
Subject:	G-Brownian motion \| G-Itô’s formula \| G-SDE \| Comparison theorem

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

Persistent link: https://www.econbiz.de/10011065032