Some Properties of Stochastic Differential Equations Driven by the G-Brownian Motion

被引：32

作者：

Lin, Qian ^{[1
]}

机构：

[1] Shandong Univ, Inst Financial Studies, Jinan 250100, Peoples R China

来源：

ACTA MATHEMATICA SINICA-ENGLISH SERIES | 2013年 / 29卷 / 05期

关键词：

G-expectation; continuous paths; G-Brownian motion; stochastic differential equations;

D O I：

10.1007/s10114-013-0701-y

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we study the property of continuous dependence on the parameters of stochastic integrals and solutions of stochastic differential equations driven by the G-Brownian motion. In addition, the uniqueness and comparison theorems for those stochastic differential equations with non-Lipschitz coefficients are obtained.

引用

页码：923 / 942

页数：20

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