Stochastic Differential Equations Driven by G-Brownian Motion with Mean Reflections
Fuente:
arXiv
Salvato in:
| Autori principali: | , |
|---|---|
| Natura: | Preprint |
| Pubblicazione: |
2023
|
| Soggetti: | |
| Accesso online: | |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
| _version_ | 1866908275573784576 |
|---|---|
| author | Li, Hanwu Ning, Ning |
| author_facet | Li, Hanwu Ning, Ning |
| contents | In this paper, we study the mean reflected stochastic differential equations driven by G-Brownian motion, where the constraint depends on the expectation of the solution rather than on its paths. Well-posedness is achieved by first investigating the Skorokhod problem with mean reflection under G-expectation. Two approaches to constructing the solution are introduced, both offering insights into desired properties and aiding in the application of the contraction mapping method. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2306_08931 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Stochastic Differential Equations Driven by G-Brownian Motion with Mean Reflections Li, Hanwu Ning, Ning Probability 60G65, 60H10 In this paper, we study the mean reflected stochastic differential equations driven by G-Brownian motion, where the constraint depends on the expectation of the solution rather than on its paths. Well-posedness is achieved by first investigating the Skorokhod problem with mean reflection under G-expectation. Two approaches to constructing the solution are introduced, both offering insights into desired properties and aiding in the application of the contraction mapping method. |
| title | Stochastic Differential Equations Driven by G-Brownian Motion with Mean Reflections |
| topic | Probability 60G65, 60H10 |
| url | https://arxiv.org/abs/2306.08931 |