Comparison theorem for neutral stochastic functional differential equations driven by G-Brownian motion

Fen-Fen Yang and Chenggui Yuan

Statistics & Probability Letters, 2022, vol. 184, issue C

Abstract: In this paper, we investigate sufficient and necessary conditions for the comparison theorem of neutral stochastic functional differential equations driven by G-Brownian motion (G-NSFDE). Moreover, the results extend the ones in the linear expectation case (Bai and Jiang, 2016) and nonlinear expectation framework (Huang and Yang, 2021).

Keywords: Comparison theorem; G-Brownian motion; Neutral stochastic delay differential equations (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109393

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