On the existence and mean square stability of neutral stochastic functional differential equations driven by G‐Lévy process.

The goal of the present article is to investigate the concepts of existences and stability for neutral stochastic functional differential equations (NSFDEs) driven by G‐Lévy process. Under non‐Lipschitz assumption the existence and uniqueness result for solutions of NSFDEs based on G‐Lévy process has been acquired. The results have been deducted by using the Bihari inequality, H ölder inequality and the Burkholder–Davis–Gundy (BDG) type inequalities of the G‐framework. In addition, the mean square stability has been studied. [ABSTRACT FROM AUTHOR]