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2013 Stochastic differential equations driven by $G$-Brownian motion with reflecting boundary conditions
Yiqing Lin
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Electron. J. Probab. 18: 1-23 (2013). DOI: 10.1214/EJP.v18-2566

Abstract

In this paper, we introduce the idea of stochastic integrals with respect to an increasing process in the $G$-framework and extend $G$-Itô's formula. Moreover, we study the solvability of the scalar valued stochastic differential equations driven by $G$ Brownian motion with reflecting boundary conditions (RGSDEs).

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Yiqing Lin. "Stochastic differential equations driven by $G$-Brownian motion with reflecting boundary conditions." Electron. J. Probab. 18 1 - 23, 2013. https://doi.org/10.1214/EJP.v18-2566

Information

Accepted: 16 January 2013; Published: 2013
First available in Project Euclid: 4 June 2016

zbMATH: 1304.60068
MathSciNet: MR3024103
Digital Object Identifier: 10.1214/EJP.v18-2566

Subjects:
Primary: 60H10

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Vol.18 • 2013
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