Differentiability of stochastic differential equations driven by the \(G\)-Brownian motion

DOI10.1007/S11425-012-4534-4zbMath1267.60065arXiv1010.3158OpenAlexW1964716971MaRDI QIDQ1955508

Qian Lin

Publication date: 11 June 2013

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.3158

zbMATH Keywords

differentiabilitystochastic differential equations\(G\)-Brownian motion\(G\)-expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Foundations of stochastic processes (60G05)

Related Items (7)

Differentiability of stochastic differential equation driven by \(d\)-dimensional \(G\)-Brownian motion with respect to the initial data ⋮ Stochastic differential equations driven by \(G\)-Brownian motion and ordinary differential equations ⋮ On the stochastic flow generated by the one default model in one-dimensional case ⋮ On Monotonicity and Order-Preservation for MultidimensionalG-Diffusion Processes ⋮ On the comparison theorem for multi-dimensional \(G\)-SDEs ⋮ Existence and stability of positive almost periodic solution for stochastic Lasota-Wazewska model ⋮ Reflected stochastic differential equations driven by \(G\)-Brownian motion with nonlinear resistance

Cites Work

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• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
• Some properties of stochastic differential equations driven by the \(G\)-Brownian motion
• Law of large numbers and central limit theorem under nonlinear expectations
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Nonlinear Expectations and Stochastic Calculus under Uncertainty

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