In this chapter, we consider the stochastic differential equations and backward stochastic differential equations driven by G-Brownian motion. The conditions and proofs of existence and uniqueness of a stochastic differential equation is similar to the classical situation. However the corresponding problems for backward stochastic differential equations are not that easy, many are still open. We only give partial results to this direction.
CITATION STYLE
Peng, S. (2019). Stochastic Differential Equations. In Probability Theory and Stochastic Modelling (Vol. 95, pp. 101–112). Springer Nature. https://doi.org/10.1007/978-3-662-59903-7_5
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