Stochastic differential equations driven by G-Brownian motion and ordinary differential equations
Probability
2014-09-02 v2
Abstract
In this paper, we show that the integration of a stochastic differential equations driven by G-Brownian motion in R can be reduced to the integration of an ordinary differential equations parametrized by a variable in ({\Omega},F). We study the sample solutions of G-SDEs by an extention of G-It\^o formula. And then we also get a comparison theorem for G-SDEs and its applications.
Keywords
Cite
@article{arxiv.1309.5232,
title = {Stochastic differential equations driven by G-Brownian motion and ordinary differential equations},
author = {Peng Luo and Falei Wang},
journal= {arXiv preprint arXiv:1309.5232},
year = {2014}
}