Time-averaging principle for G-SDEs based on Lyapunov condition
نویسندگان
چکیده
Abstract In this paper, we tame the uncertainty about volatility in time-averaging principle for stochastic differential equations driven by G-Brownian motion (G-SDEs) based on Lyapunov condition. That means treat condition presence of a family probability measures, each corresponding to different scenario volatility. The main tool mathematical analysis is G-stochastic calculus, which introduced book Peng (Nonlinear Expectations and Stochastic Calculus Under Uncertainty. Springer, Berlin, 2019). We show that solution standard equation converges averaging sense sublinear expectation with help some properties calculus. Numerical results obtained using PYTHON illustrate efficiency method.
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ژورنال
عنوان ژورنال: Advances in Continuous and Discrete Models
سال: 2023
ISSN: ['2731-4235']
DOI: https://doi.org/10.1186/s13662-023-03772-6