期刊
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS
卷 439, 期 1, 页码 235-255出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.jmaa.2016.02.042
关键词
G-Brownian motion; Stopping times; G-stochastic differential equations; Lyapunov functions; Stability
资金
- Fundamental Research Funds of Shandong University [2014GN007]
- China Postdoctoral Science Foundation [2014M561907]
- SRF for ROCS
- State Education Ministry of China
- National Natural Science Foundation of China [11271007]
- European Research Council (ERC) [FA506041, 321111]
This paper studies the solvability and the stability of stochastic differential equations driven by G-Brownian motion (GSDEs). In particular, the existence and uniqueness of the solution for locally Lipschitz GSDEs are obtained by localization methods, also the stability of such GSDEs is discussed with Lyapunov-type conditions. (C) 2016 Elsevier Inc. All rights reserved.
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