Stochastic differential equations driven by G-Brownian motion and ordinary differential equations

Peng Luo; Falei Wang

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arXiv · 1309.5232

Stochastic differential equations driven by G-Brownian motion and ordinary differential equations

Peng Luo·Falei Wang

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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.

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Peng Luo, Falei Wang. 2013-09-20. Stochastic differential equations driven by G-Brownian motion and ordinary differential equations. https://arxiv.org/abs/1309.5232

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