On the comparison theorem for multi-dimensional G-SDEs

Peng Luo and Falei Wang

Statistics & Probability Letters, 2015, vol. 96, issue C, 38-44

Abstract: In this paper, we establish a viability result for stochastic differential equations (SDEs) driven by a multi-dimensional G-Brownian motion. Then we obtain a sufficient and necessary condition for comparison theorem of multi-dimensional G-SDEs by an equivalent criterion of viability condition for G-SDEs.

Keywords: Viability property; G-stochastic differential equations; Comparison theorem (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2014.09.010

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