Lyapunov-type conditions and stochastic differential equations driven by $G$-Brownian motion

Xinpeng Li; Xiangyun Lin; Yiqing Lin

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arXiv · 1412.6169

Lyapunov-type conditions and stochastic differential equations driven by $G$-Brownian motion

Xinpeng Li·Xiangyun Lin·Yiqing Lin

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Abstract

This paper studies the solvability and the stability of stochastic differential equations driven by G-Brownian motion (GSDEs). In particular, the existence and uniqueness of the solution for locally Lipschitz GSDEs is obtained by localization methods, also the stability of such GSDEs are discussed with Lyapunov-type conditions.

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BibTeX RIS

Xinpeng Li, Xiangyun Lin, Yiqing Lin. 2014-12-18. Lyapunov-type conditions and stochastic differential equations driven by $G$-Brownian motion. https://arxiv.org/abs/1412.6169

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