A note on the stochastic differential equations driven by G-Brownian motion

Yong Ren and Lanying Hu

Statistics & Probability Letters, 2011, vol. 81, issue 5, 580-585

Abstract: In this note, we prove the existence and uniqueness of a solution to stochastic differential equations driven by G-Brownian motion (GSDEs, for short) under global Carathéodory conditions by means of the successive approximation.

Keywords: Stochastic; differential; equation; G-Brownian; motion; Caratheodory; condition (search for similar items in EconPapers)
Date: 2011
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