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Asymptotic Stability in Distribution of Highly Nonlinear Stochastic Differential Equations with G-Brownian Motion

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Abstract

Following the analysis on the stability in distribution of stochastic differential equations discussed in Fei et al. (Appl Math Lett 136:108448, 2023), this article further investigates the stability in distribution of highly nonlinear stochastic differential equations driven by G-Brownian motion (G-HNSDEs). To this end, by employing the theory on sublinear expectations, the stability in distribution of G-HNSDEs is analysed. Moreover, a sufficient criterion of the stability in distribution of G-HNSDEs is provided for convenient use.

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Funding

This work was supported by the National Natural Science Foundation of China (62273003), the Royal Society (WM160014, Royal Society Wolfson Research Merit Award), the Royal Society of Edinburgh (RSE1832), the Natural Science Foundation of Universities in Anhui Province (2022AH050993), and the Startup Foundation for Introduction Talent of AHPU (2021YQQ058).

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Authors and Affiliations

  1. Business School, University of Shanghai for Science and Technology, Shanghai, 200093, China

    Chen Fei

  2. School of Mathematics-Physics and Finance, Anhui Polytechnic University, Wuhu, 241000, China

    Weiyin Fei & Shounian Deng

  3. Department of Mathematics and Statistics, University of Strathclyde, Glasgow, G1 1XH, UK

    Xuerong Mao

Authors
  1. Chen Fei
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  2. Weiyin Fei
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  3. Shounian Deng
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  4. Xuerong Mao
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Contributions

Chen Fei: Conceptualization, Methodology, Original draft preparation; Weiyin Fei: Writing-Review & Editing, Validation; Shounian Deng: Validation, Numerical simulation; Xuerong Mao: Formal analysis, Validation.

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Correspondence to Weiyin Fei.

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Fei, C., Fei, W., Deng, S. et al. Asymptotic Stability in Distribution of Highly Nonlinear Stochastic Differential Equations with G-Brownian Motion. Qual. Theory Dyn. Syst. 22, 57 (2023). https://doi.org/10.1007/s12346-023-00760-9

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