Comparison theorem for neutral stochastic functional differential equations driven by G-Brownian motion
Fen-Fen Yang, Chenggui Yuan
TL;DR
This paper establishes conditions under which comparison theorems hold for neutral stochastic functional differential equations driven by G-Brownian motion, extending previous results from linear and nonlinear expectation frameworks.
Contribution
It provides necessary and sufficient conditions for comparison theorems in the G-Brownian motion setting, broadening the theoretical understanding of these equations.
Findings
Derived necessary and sufficient conditions for comparison theorems
Extended results from linear to nonlinear expectation frameworks
Enhanced theoretical foundation for G-Brownian driven equations
Abstract
In this paper, we investigate suffcient and necessary conditions for the comparison theorem of neutral stochastic functional differential equations driven by G-Brownian motion (G-NSFDE). Moreover, the results extend the ones in the linear expectation case [1] and nonlinear expectation framework [8].
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Taxonomy
TopicsStochastic processes and financial applications · Nonlinear Differential Equations Analysis · stochastic dynamics and bifurcation