Reflected stochastic differential equations driven by G-Brownian motion with nonlinear resistance

Abstract

We study the uniqueness and existence of solutions of reflected G-stochastic differential equations (RGSDEs) with nonlinear resistance under an integral-Lipschitz condition of coefficients. Moreover, we obtain the comparison theorem for RGSDEs with nonlinear resistance.

Key words： G-Brownian motion; G-expectation; reflected G-stochastic differential equation (RGSDE); nonlinear resistance; comparison theorem

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