Differentiability of Stochastic Differential Equation Driven by d-Dimensional G-Brownian Motion with Respect to the Initial Data

被引：2

作者：

Bougherra, Rania ^{[1
]}

Boutabia, Hacene ^{[1
]}

Belksier, Manel ^{[1
]}

机构：

[1] Badji Mokhtar Univ, Fac Sci, Dept Math, LaPS Lab, Annaba, Algeria

来源：

BULLETIN OF THE IRANIAN MATHEMATICAL SOCIETY | 2021年 / 47卷 / SUPPL 1期

关键词：

G-Brownian motion; G-Expectations; G-Stochastic integrals; G-Stochastic differential equations; Random matrices; CALCULUS;

D O I：

10.1007/s41980-020-00490-7

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

The present paper is devoted to the study of the differentiability of solutions of stochastic differential equations driven by d-dimensional G-Brownian motion with respect to the initial data. Matricial stochastic differential equation of derivative and its inverse are given. This extends results obtained by Lin in 2013, in the one-dimensional case.

引用

页码：231 / 255

页数：25

共 50 条

[31] The Support of the Solution for Stochastic Differential Equations Driven by G-Brownian Motion
Fu Qing GAO
Ming Zhou XU
Acta Mathematica Sinica,English Series, 2012, (12) : 2417 - 2430
[32] The support of the solution for stochastic differential equations driven by G-Brownian motion
Fu Qing Gao
Ming Zhou Xu
Acta Mathematica Sinica, English Series, 2012, 28 : 2417 - 2430
[33] Some Properties of Stochastic Differential Equations Driven by the G-Brownian Motion
Qian LIN
Acta Mathematica Sinica,English Series, 2013, (05) : 923 - 942
[34] Approximation Theorem for Stochastic Differential Equations Driven by G-Brownian Motion
Gao, Fuqing
Jiang, Hui
STOCHASTIC ANALYSIS WITH FINANCIAL APPLICATIONS, HONG KONG 2009, 2011, 65 : 73 - 81
[35] Some Properties of Stochastic Differential Equations Driven by the G-Brownian Motion
Qian LIN
Acta Mathematica Sinica, 2013, 29 (05) : 923 - 942
[36] Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion
Zheng, Zhonghao
Bi, Xiuchun
Zhang, Shuguang
ABSTRACT AND APPLIED ANALYSIS, 2013,
[37] On Relaxed Stochastic Optimal Control for Stochastic Differential Equations Driven by G-Brownian Motion
Redjil, Amel
Choutri, Salah Eddine
ALEA-LATIN AMERICAN JOURNAL OF PROBABILITY AND MATHEMATICAL STATISTICS, 2018, 15 (01): : 201 - 212
[38] Stochastic differential equations driven by G-Brownian motion with reflecting boundary conditions
Lin, Yiqing
ELECTRONIC JOURNAL OF PROBABILITY, 2013, 18 : 1 - 23
[39] Stability with respect to a part of the variables of stochastic nonlinear systems driven by G-Brownian motion
Caraballo, Tomas
Ezzine, Faten
Hammami, Mohamed Ali
INTERNATIONAL JOURNAL OF CONTROL, 2023, 96 (07) : 1797 - 1809
[40] Forward-backward stochastic differential equations driven by G-Brownian motion
Wang, Bingjun
Yuan, Mingxia
APPLIED MATHEMATICS AND COMPUTATION, 2019, 349 : 39 - 47

← 1 2 3 4 5 →