On the Existence and Uniqueness of Solutions to Stochastic Differential Equations Driven by G-Brownian Motion with Integral-Lipschitz Coefficients

In this paper, we study the existence and uniqueness of solutions to stochastic differential equations driven by G-Brownian motion （GSDEs） with integral-Lipschitz coefficients.

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Bibliographic Details
Published in	Acta Mathematicae Applicatae Sinica Vol. 30; no. 3; pp. 589 - 610
Main Authors	Bai, Xue-peng, Lin, Yi-qing
Format	Journal Article
Language	English
Published	Berlin/Heidelberg Springer Berlin Heidelberg 01.07.2014 Springer Verlag
Subjects	Applications of Mathematics Math Applications in Computer Science Mathematical and Computational Physics Mathematics Mathematics and Statistics Probability Theoretical 布朗运动积分随机微分方程驱动 Brownian motion backward stochastic differential equations integral-Lipschitz condition 60H10 expectation stochastic differential equations G-expectation Integral-Lipschitz coefficients G-backward stochastic differential equations G-Itˆo's formula G-stochastic differential equations G-Brownian motion
Online Access	Get full text
ISSN	0168-9673 1618-3932
DOI	10.1007/s10255-014-0405-9

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Summary:	In this paper, we study the existence and uniqueness of solutions to stochastic differential equations driven by G-Brownian motion （GSDEs） with integral-Lipschitz coefficients.
Bibliography:	11-2041/O1 G-Brownian motion; G-expectation; G-stochastic differential equations; G-backward stochastic differential equations; integral-Lipschitz condition In this paper, we study the existence and uniqueness of solutions to stochastic differential equations driven by G-Brownian motion （GSDEs） with integral-Lipschitz coefficients.
ISSN:	0168-9673 1618-3932
DOI:	10.1007/s10255-014-0405-9