Stochastic differential equations driven by $G$-Brownian motion with reflecting boundary conditions
Stochastic differential equations driven by $G$-Brownian motion with reflecting boundary conditions
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DOI：
10.1214/ejp.v18-2566
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发表时间：
2011-03
影响因子：
1.4
通讯作者：
Yiqing Lin
中科院分区：
文献类型：
--
作者：
Yiqing Lin
本文在$G$-框架下引入了关于增过程的随机积分的概念，推广了$G$-Ito公式.此外，我们研究了由G布朗运动驱动的带反射边界条件的标量值随机微分方程的可解性。
In this paper, we introduce the idea of stochastic integrals with respect to an increasing process in the $G$-framework and extend $G$-Ito's formula. Moreover, we study the solvability of the scalar valued stochastic differential equations driven by $G$ Brownian motion with reflecting boundary conditions (RGSDEs).