Stochastic differential equations driven by \(G\)-Brownian motion and ordinary differential equations
type: Item
instance of: scholarly article
title: Stochastic differential equations driven by \(G\)-Brownian motion and ordinary differential equations
zbMATH Open document ID: 1296.60154
author: Falei Wang
author: Peng Luo
published in: Stochastic Processes and their Applications
publication date: 2014-09-04T00:00:00Z
full work available at URL: https://arxiv.org/abs/1309.5232
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 6339816
zbMATH Keywords: \(G\)-Brownian motion
zbMATH Keywords: \(G\)-Itô's formula
zbMATH Keywords: \(G\)-SDE
zbMATH Keywords: comparison theorem
MaRDI profile type: Publication
OpenAlex ID: W2048455442
arXiv ID: 1309.5232
cites work: Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
cites work: Q4131410
cites work: Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
cites work: A Comparison Theorem for Solutions of Stochastic Differential Equations and its Applications
cites work: Stopping times and related Itô's calculus with \(G\)-Brownian motion
cites work: Differentiability of stochastic differential equations driven by the \(G\)-Brownian motion
cites work: Local time and Tanaka formula for the \(G\)-Brownian motion
cites work: Some properties of stochastic differential equations driven by the \(G\)-Brownian motion
cites work: Stochastic differential equations driven by \(G\)-Brownian motion with reflecting boundary conditions
cites work: Filtration consistent nonlinear expectations and evaluations of contingent claims
cites work: Nonlinear expectations and nonlinear Markov chains
cites work: Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
cites work: Wellposedness of second order backward SDEs
cites work: Extension and Application of Itô's Formula UnderG-Framework
DOI: 10.1016/J.SPA.2014.07.004
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description: scientific article; zbMATH DE number 6339816