Path Independence of Additive Functionals for SDEs under G-framework
Probability
2019-08-22 v2
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.
Cite
@article{arxiv.1812.03610,
title = {Path Independence of Additive Functionals for SDEs under G-framework},
author = {Panpan Ren and Fen-Fen Yang},
journal= {arXiv preprint arXiv:1812.03610},
year = {2019}
}