| Título: | Stochastic differential equations driven by $G$-Brownian motion with reflecting boundary conditions |
| Autores: | Lin, Yiqing; Shandong University & Université de Rennes 1 |
| Fecha: | 2013-01-04 |
| Publicador: | Electronic journal of probability |
| Fuente: |
 |
| Tipo: | Peer-reviewed Article |
| Tema: |
$G$-Brownian motion; $G$-expectation; increasing processes; $G$-It\^o's formula; $G$-stochastic differential equations; reflecting boundary conditions 60H10 |
| Descripción: | In this paper, we introduce the idea of stochastic integrals with respect to an increasing process in the $G$-framework and extend $G$-Itô's formula. Moreover, we study the solvability of the scalar valued stochastic differential equations driven by $G$ Brownian motion with reflecting boundary conditions (RGSDEs). |
| Idioma: | Inglés |
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