Invariant and ergodic nonlinear expectations for G - diffusion processes *
نویسندگان
چکیده
In this paper we study the problems of invariant and ergodic expectations under G-expectation framework. In particular, the stochastic differential equations driven by G-Brownian motion (G-SDEs) have the unique invariant and ergodic expectations. Moreover, the invariant and ergodic expectations of G-SDEs are also sublinear expectations. However, the invariant expectations may not coincide with the ergodic expectations, which is different from the classical case.
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