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

Chen Fei; Weiyin Fei; Xuerong Mao

doi:10.1016/j.aml.2022.108448

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

Chen Fei, Weiyin Fei, Xuerong Mao

Mathematics And Statistics

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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.

Original language	English
Article number	108448
Journal	Applied Mathematics Letters
Volume	136
Early online date	20 Sept 2022
DOIs	https://doi.org/10.1016/j.aml.2022.108448
Publication status	Published - Feb 2023

Keywords

G-SDEs
sublinear expectation
stability in distribution
Markovian inequality
G -itô formula

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10.1016/j.aml.2022.108448

Fei-etal-AML-2022-A-note-on-sufficient-conditions-of-asymptotic-stability-in-distribution-of-stochastic-differential-equationsAccepted author manuscript, 621 KBLicence: CC BY-NC-ND 4.0

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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.",

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AU - Fei, Chen

AU - Fei, Weiyin

AU - Mao, Xuerong

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N2 - 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.

AB - 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.

KW - G-SDEs

KW - sublinear expectation

KW - stability in distribution

KW - Markovian inequality

KW - G -itô formula

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DO - 10.1016/j.aml.2022.108448

M3 - Article

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VL - 136

JO - Applied Mathematics Letters

JF - Applied Mathematics Letters

M1 - 108448

ER -

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

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Keywords

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