A Note on the Carathéodory Approximation Scheme for Stochastic Differential Equations under G-Brownian Motion
2012 ◽
Vol 67
(12)
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pp. 699-704
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Keyword(s):
In this note, the Carathéodory approximation scheme for vector valued stochastic differential equations under G-Brownian motion (G-SDEs) is introduced. It is shown that the Carathéodory approximate solutions converge to the unique solution of the G-SDEs. The existence and uniqueness theorem for G-SDEs is established by using the stated method.
2012 ◽
Vol 48
(4)
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pp. 899-917
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1999 ◽
Vol 22
(2)
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pp. 271-279
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2001 ◽
Vol 24
(2)
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pp. 477-486
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2007 ◽
Vol 2007
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pp. 1-14
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