G-Brownian Motion as Rough Paths and Differential Equations Driven by G-Brownian Motion

DOI10.1007/978-3-319-11970-0_6zbMath1390.60205arXiv1306.2021OpenAlexW1865418433MaRDI QIDQ4568485

X. Geng, Zhongmin Qian, Dan-Yu Yang

Publication date: 21 June 2018

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.2021

zbMATH Keywords

nonlinear diffusion processesnonlinear heat flowrough differential equations\(G\)-Brownian motion\(G\)-expectationEuler-Maruyama approximationgeometric rough paths

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60)

Related Items (5)

Stochastic calculus with respect to \(G\)-Brownian motion viewed through rough paths ⋮ Constrained rough paths ⋮ Rough path analysis for local time of G-Brownian motion ⋮ Itô's calculus under sublinear expectations via regularity of PDEs and rough paths ⋮ Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion

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