ترغب بنشر مسار تعليمي؟ اضغط هنا

Comparison Theorem for Functional SDEs Driven by $G$-Brownian Motion

107   0   0.0 ( 0 )
 نشر من قبل Xing Huang
 تاريخ النشر 2020
  مجال البحث
والبحث باللغة English




اسأل ChatGPT حول البحث

Sufficient and necessary conditions are presented for the comparison theorem of path dependent $G$-SDEs. Different from the corresponding study in path independent $G$-SDEs, a probability method is applied to prove these results. Moreover, the results extend the ones in the linear expectation case.

قيم البحث

اقرأ أيضاً

In this paper, we investigate suffcient and necessary conditions for the comparison theorem of neutral stochastic functional differential equations driven by G-Brownian motion (G-NSFDE). Moreover, the results extend the ones in the linear expectation case [1] and nonlinear expectation framework [8].
128 - Shige Peng , Huilin Zhang 2015
In this paper, we build the equivalence between rough differential equations driven by the lifted $G$-Brownian motion and the corresponding Stratonovich type SDE through the Wong-Zakai approximation. The quasi-surely convergence rate of Wong-Zakai ap proximation to $G-$SDEs with mesh-size $frac{1}{n}$ in the $alpha$-Holder norm is estimated as $(frac{1}{n})^{frac12-}.$ As corollary, we obtain the quasi-surely continuity of the above RDEs with respect to uniform norm.
132 - Fenfen Yang 2018
We establish Harnack inequality and shift Harnack inequality for stochastic differential equation driven by $G$-Brownian motion. As applications, the uniqueness of invariant linear expectations and estimates on the $sup$-kernel are investigated, wher e the $sup$-kernel is introduced in this paper for the first time.
This paper is devoted to studying the properties of the exit times of stochastic differential equations driven by $G$-Brownian motion ($G$-SDEs). In particular, we prove that the exit times of $G$-SDEs has the quasi-continuity property. As an applica tion, we give a probabilistic representation for a large class of fully nonlinear elliptic equations with Dirichlet boundary.
125 - Hanwu Li 2020
In this paper, we study the doubly reflected backward stochastic differential equations driven by G-Brownian motion. We show that the solution can be constructed by a family of penalized reflected G-BSDEs with a lower obstacle. The advantage of this construction is that the convergence sequence is monotone, which is helpful to establish the relation between doubly reflected G-BSDEs and double obstacle fully nonlinear partial differential equations.
التعليقات
جاري جلب التعليقات جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
mircosoft-partner

هل ترغب بارسال اشعارات عن اخر التحديثات في شمرا-اكاديميا