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

By Xinpeng Li, Xiangyun Lin, Yiqing Lin. 2014

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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.

Subfields: Control and Systems Engineering, Finance, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/2afd4900be1a2206e7b7ecad4e233388f0d5895e