JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2026, Vol. 61 ›› Issue (2): 10-19.doi: 10.6040/j.issn.1671-9352.0.2024.439

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Numerical solution of stochastic differential equations driven by G-Brownian motion under non-Lipschitz conditions

LIANG Fei, ZHANG Lijie*   

  1. College of Science, Xian University of Science and Technology, Xian 710600, Shaanxi, China
  • Published:2026-02-13

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Abstract: This paper investigates a stochastic differential equation driven by G-Brownian motion that satisfies non-Lipschitz conditions. Initially, the Euler method is employed to construct a numerical solution for the equation. Subsequently, the convergence of the Euler numerical solution to the analytical solution is proven in the mean-square sense. Finally, an example is provided to validate the theoretical results.

Key words: stochastic differential equations, G-Brownian motion, non-Lipschitz conditions, Euler method

CLC Number: 

  • O241
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