Lyapunov-type conditions and stochastic differential equations driven by $G$-Brownian motion
Probability
2014-12-22 v1
Abstract
This paper studies the solvability and the stability of stochastic differential equations driven by G-Brownian motion (GSDEs). In particular, the existence and uniqueness of the solution for locally Lipschitz GSDEs is obtained by localization methods, also the stability of such GSDEs are discussed with Lyapunov-type conditions.
Keywords
Cite
@article{arxiv.1412.6169,
title = {Lyapunov-type conditions and stochastic differential equations driven by $G$-Brownian motion},
author = {Xinpeng Li and Xiangyun Lin and Yiqing Lin},
journal= {arXiv preprint arXiv:1412.6169},
year = {2014}
}