Research Communication | Open Access
Volume 2019 | Communication ID 295
Volume 2019 | Communication ID 295
| On the Picard approximation and fixed point scheme for SDEs driven by g-Brownian motion |
Bougherra, Boutabia, Belksier
Received |
Accepted |
Published |
Feb 14, 2019 |
Feb 26, 2019 |
Mar 01, 2019 |
Abstract: A significant role is played by stochastic differential equations(SDEs for short) in a broad range of applied disciplines, including biology, economics, finance, chemistry, physics, microelectronics and mechanics ... ( for mor details see[2]). Motivated by uncertainty problems, risk measures and super-hedging in finance, recently Peng [3,4] gives in 2006 the notions of G-expectation and G-Brownian motion on sublinear expectation space which provides the new perspective for the stochastic calculus under uncertainty..As a counterpart in the classical framework, stochastic differential ...