On the existence and uniqueness of solutions to stochastic differential equations driven by G-Brownian motion with integral-Lipschitz coefficients
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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.
KeywordsG-Brownian motion G-expectation G-stochastic differential equations G-backward stochastic differential equations integral-Lipschitz condition
2000 MR Subject Classification60H10
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© Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg 2014