The filtering problem for stochastic systems driven by G‐Brownian motion
This paper studies quasi‐sure exponential of triangular stochastic differential equations driven by ‐Brownian motion ( ‐SDEs, in short) with the help of the stability of each diagonal subsystems by exponential martingale inequality and ‐stochastic analysis techniques. This result allows us to study the full‐order filtering problem of the stochastic systems driven ‐Brownian motion.
Authors
- Yiran He (ORCID: https://orcid.org/0000-0001-5209-8319)
- Yong Ren (ORCID: https://orcid.org/0000-0002-8353-6788)
- Wensheng Yin (ORCID: https://orcid.org/0000-0001-7634-7607)
Institutions
- Anhui University (CN)
- Anhui Normal University (CN)
Publication Details
- Journal
- Mathematical Methods in the Applied Sciences
- Published
- 2024-10-17
- DOI
- https://doi.org/10.1002/mma.10547
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- National Natural Science Foundation of China
- Natural Science Foundation of Anhui Province