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Comparison theorem for neutral stochastic functional differential equations driven by G-Brownian motion

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  • Yang, Fen-Fen
  • Yuan, Chenggui

Abstract

In this paper, we investigate sufficient 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 (Bai and Jiang, 2016) and nonlinear expectation framework (Huang and Yang, 2021).

Suggested Citation

  • Yang, Fen-Fen & Yuan, Chenggui, 2022. "Comparison theorem for neutral stochastic functional differential equations driven by G-Brownian motion," Statistics & Probability Letters, Elsevier, vol. 184(C).
    • Handle: RePEc:eee:stapro:v:184:y:2022:i:c:s0167715222000165
    DOI: 10.1016/j.spl.2022.109393
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    References listed on IDEAS

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    1. Peng, Shige & Zhu, Xuehong, 2006. "Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 116(3), pages 370-380, March.
    2. Luo, Peng & Wang, Falei, 2014. "Stochastic differential equations driven by G-Brownian motion and ordinary differential equations," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3869-3885.
    3. Luo, Peng & Wang, Falei, 2015. "On the comparison theorem for multi-dimensional G-SDEs," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 38-44.
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