| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1156543 | Stochastic Processes and their Applications | 2014 | 17 Pages |
Abstract
In this paper, we show that the integration of a stochastic differential equation driven by GG-Brownian motion (GG-SDE for short) in RR can be reduced to the integration of an ordinary differential equation (ODE for short) parameterized by a variable in (Ω,F)(Ω,F). By this result, we obtain a comparison theorem forGG-SDEs and its applications.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Peng Luo, Falei Wang,