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

2014/12/18 by Xinpeng Li, Li, Xinpeng, Xiangyun Lin +3
Mathematics · #60H05 #60H10 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:60H05 #msc:60H10

paper · pdf · doi:10.48550/arxiv.1412.6169

arxiv created 2014/12/18 · arxiv updated 2014/12/22

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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