Comparison Theorem for Functional SDEs Driven by $G$-Brownian Motion

Xing Huang; Fen-Fen Yang

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arXiv · 2004.02652

Comparison Theorem for Functional SDEs Driven by $G$-Brownian Motion

Xing Huang·Fen-Fen Yang

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Abstract

Sufficient and necessary conditions are presented for the comparison theorem of path dependent $G$-SDEs. Different from the corresponding study in path independent $G$-SDEs, a probability method is applied to prove these results. Moreover, the results extend the ones in the linear expectation case.

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Xing Huang, Fen-Fen Yang. 2020-04-06. Comparison Theorem for Functional SDEs Driven by $G$-Brownian Motion. https://arxiv.org/abs/2004.02652

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