A note on sufficient conditions of asymptotic stability in distribution of stochastic differential equations with G-Brownian motion

Fei, Chen and Fei, Weiyin and Mao, Xuerong (2023) A note on sufficient conditions of asymptotic stability in distribution of stochastic differential equations with G-Brownian motion. Applied Mathematics Letters, 136. 108448. ISSN 0893-9659 (https://doi.org/10.1016/j.aml.2022.108448)

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Abstract

This paper investigates a sufficient condition of asymptotic stability in distribution of stochastic differential equations driven by G-Brownian motion (G-SDEs). We define the concept of asymptotic stability in distribution under sublinear expectations. Sufficient criteria of the asymptotic stability in distribution based on sublinear expectations are given. Finally, an illustrative example is provided.

ORCID iDs

Fei, Chen, Fei, Weiyin and Mao, Xuerong ORCID logoORCID: https://orcid.org/0000-0002-6768-9864;
  • Item type:Article
    ID code:82408
    Dates:
    Date
    Event
    February 2023
    Published
    20 September 2022
    Published Online
    14 September 2022
    Accepted
    Keywords:G-SDEs, sublinear expectation, stability in distribution, Markovian inequality, G -itô formula, Mathematics, Applied Mathematics
    Subjects:Science > Mathematics
    Department:Faculty of Science > Mathematics and Statistics
    Depositing user: Pure Administrator
    Date deposited:22 Sep 2022 09:34
    Last modified:26 Mar 2023 01:45
    URI:https://strathprints.strath.ac.uk/id/eprint/82408
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