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Stochastic differential equations driven by $G$-Brownian motion with reflecting boundary conditions


 
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1. Title Title of document Stochastic differential equations driven by $G$-Brownian motion with reflecting boundary conditions
 
2. Creator Author's name, affiliation, country Yiqing Lin; Shandong University & Université de Rennes 1; France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) $G$-Brownian motion; $G$-expectation; increasing processes; $G$-It\^o's formula; $G$-stochastic differential equations; reflecting boundary conditions
 
3. Subject Subject classification 60H10
 
4. Description 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).
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2013-01-16
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/2566
 
10. Identifier Digital Object Identifier 10.1214/EJP.v18-2566
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 18
 
12. Language English=en en
 
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