Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion

Fuqing Gao

Stochastic Processes and their Applications, 2009, vol. 119, issue 10, 3356-3382

Abstract: We study pathwise properties and homeomorphic property with respect to the initial values for stochastic differential equations driven by G-Brownian motion. We first present a Burkholder-Davis-Gundy inequality and an extension of Itô's formula for the G-stochastic integrals. Some moment estimates and Hölder continuity of the G-stochastic integrals and the solutions of stochastic differential equations with Lipschitzian coefficients driven by G-Brownian motion are obtained. Homeomorphic property with respect to the initial values is also established.

Keywords: G-Brownian; motion; G-stochastic; differential; equation; BDG; inequality; Ito's-formula; Moment; estimate; Holder; continuity; Homeomorphic; flow (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (29)

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