One-dimensional game-theoretic differential equations

Rafa{\l} M. {\L}ochowski, Nicolas Perkowski and David J. Pr\"omel

Papers from arXiv.org

Abstract: We provide a very brief introduction to typical paths and the corresponding It\^o type integration. Relying on this robust It\^o integration, we prove an existence and uniqueness result for one-dimensional differential equations driven by typical paths with non-Lipschitz continuous coefficients in the spirit of Yamada--Watanabe as well as an approximation result in the spirit of Doss--Sussmann.

Date: 2021-01
New Economics Papers: this item is included in nep-gth
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Published in Int. J. Approx. Reason.: Probability and Statistics: Foundations and History. In honor of Glenn Shafer, vol. 141, p. 11--27, 2022

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