Reflected stochastic differential equations driven by <i>G</i>-Brownian motion with nonlinear resistance

doi:10.1007/s11464-015-0433-7

Front. Math. China

2016, Vol. 11

Issue (1) : 123-140 https://doi.org/10.1007/s11464-015-0433-7

RESEARCH ARTICLE

Reflected stochastic differential equations driven by G-Brownian motion with nonlinear resistance

Peng LUO^2,^*(

)

1. School of Mathematics and Qilu Securities Institute for Financial Studies,Shandong University, Jinan 250100, China
2. Department of Mathematics and Statistics, University of Konstanz, Konstanz 78457, Germany

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Abstract

We study the uniqueness and existence of solutions of reflected G-stochastic differential equations (RGSDEs) with nonlinear resistance under an integral-Lipschitz condition of coefficients. Moreover, we obtain the comparison theorem for RGSDEs with nonlinear resistance.

Keywords G-Brownian motion G-expectation reflected G-stochastic differential equation (RGSDE) nonlinear resistance comparison theorem

Corresponding Author(s): Peng LUO

Issue Date: 02 December 2015

Cite this article:

Peng LUO. Reflected stochastic differential equations driven by G-Brownian motion with nonlinear resistance[J]. Front. Math. China, 2016, 11(1): 123-140.

URL:

https://academic.hep.com.cn/fmc/EN/10.1007/s11464-015-0433-7
https://academic.hep.com.cn/fmc/EN/Y2016/V11/I1/123

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