On the Existence and Uniqueness of Solutions to Stochastic Differential Equations Driven by G-Brownian Motion with Integral-Lipschitz Coefficients

Xuepeng Bai , Yiqing Lin (1)

1 IRMAR - Institut de Recherche Mathématique de Rennes

In this paper, we study the existence and uniqueness of solutions to stochastic differential equations driven by G-Brownian motion with an integral-Lipschitz condition for the coefficients.

Mots clés: G-backward stochastic differential equations; Integral-Lipschitz coefficients; G-Brownian motion; G-expectation; G-Itˆo's formula; G-stochastic differential equations

Domaines: Probabilités [math.PR]

Xuepeng Bai, Yiqing Lin. On the Existence and Uniqueness of Solutions to Stochastic Differential Equations Driven by G-Brownian Motion with Integral-Lipschitz Coefficients. Acta Mathematicae Applicatae Sinica, 2014, 30 (3), pp.589-610. ⟨10.1007/s10255-014-0405-9⟩. ⟨hal-00703994⟩