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6 papers · 2 filters
Lyapunov-type conditions and stochastic differential equations driven by -Brownian motion
Xinpeng Li, Xiangyun Lin, Yiqing Lin
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 so…
Random Periodic Processes, Periodic Measures and Ergodicity
Chunrong Feng, Huaizhong Zhao
Ergodicity of random dynamical systems with a periodic measure is obtained on a Polish space. In the Markovian case, the idea of Poincaré sections is introduced. It is proved that…
Value in mixed strategies for zero-sum stochastic differential games without Isaacs condition
Rainer Buckdahn, Juan Li, Marc Quincampoix
In the present work, we consider 2-person zero-sum stochastic differential games with a nonlinear pay-off functional which is defined through a backward stochastic differential equ…
Reflected Stochastic Differential Equations Driven By G-Brownian motion With Nonlinear Resistance
Peng Luo
In this paper, we study the uniqueness and existence of solutions of RGSDEs with nonlinear resistance under an integral-Lipschitz condition of coefficients. Moreover we obtain the…
On monotonicity and order-preservation for multidimensional G-diffusion processes
Peng Luo, Guangyan Jia
In this paper, we prove a comparison theorem for multidimensional G-SDEs. Moreover we obtain respectively the sufficient conditions and necessary conditions of the monotonicity and…
A note on characterizations of G-normal distribution
Peng Luo, Guangyan Jia
In this paper, we show that the G-normality of X and Y can be characterized according to the form of f such that the distribution of λ+f(λ)Y does not depend on λ, where Y is an ind…