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arXiv · 1812.03610

Path Independence of Additive Functionals for SDEs under G-framework

Panpan Ren·Fen-Fen Yang
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Abstract

The path independence of additive functionals for SDEs driven by the G-Brownian motion is characterized by nonlinear PDEs. The main result generalizes the existing ones for SDEs driven by the standard Brownian motion.

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Panpan Ren, Fen-Fen Yang. 2018-12-10. Path Independence of Additive Functionals for SDEs under G-framework. https://doi.org/10.1007/s11464-019-0752-1

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