Comparison Theorem for Functional SDEs Driven by $G$-Brownian Motion
Probability
2020-04-28 v2
Abstract
Sufficient and necessary conditions are presented for the comparison theorem of path dependent -SDEs. Different from the corresponding study in path independent -SDEs, a probability method is applied to prove these results. Moreover, the results extend the ones in the linear expectation case.
Cite
@article{arxiv.2004.02652,
title = {Comparison Theorem for Functional SDEs Driven by $G$-Brownian Motion},
author = {Xing Huang and Fen-Fen Yang},
journal= {arXiv preprint arXiv:2004.02652},
year = {2020}
}
Comments
13 pages