Viability for Stochastic Differential Equations Driven by G-Brownian Motion

Peng Luo () and Falei Wang ()
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Peng Luo: Shandong University
Falei Wang: Shandong University

Journal of Theoretical Probability, 2019, vol. 32, issue 1, 395-416

Abstract: Abstract In this paper, we prove a type of Nagumo theorem on viability properties for stochastic differential equations driven by G-Brownian motion (G-SDEs). In particular, an equivalent criterion is formulated through stochastic contingent and tangent sets. Moreover, by the approach of direct and inverse images for stochastic tangent sets we present checkable conditions which keep the solution of a given G-SDE evolving in some particular sets.

Keywords: Stochastic viability; Stochastic differential equation; Stochastic tangent set; G-Brownian motion; 60H30; 60H10 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s10959-017-0791-z

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