کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156100 958802 2009 27 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pathwise properties and homeomorphic flows for stochastic differential equations driven by GG-Brownian motion
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Pathwise properties and homeomorphic flows for stochastic differential equations driven by GG-Brownian motion
چکیده انگلیسی

We study pathwise properties and homeomorphic property with respect to the initial values for stochastic differential equations driven by GG-Brownian motion. We first present a Burkholder–Davis–Gundy inequality and an extension of Itô’s formula for the GG-stochastic integrals. Some moment estimates and Hölder continuity of the GG-stochastic integrals and the solutions of stochastic differential equations with Lipschitzian coefficients driven by GG-Brownian motion are obtained. Homeomorphic property with respect to the initial values is also established.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 119, Issue 10, October 2009, Pages 3356–3382
نویسندگان
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