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Path independence of additive functionals for stochastic differential equations under G-framework

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Abstract

The path independence of additive functionals for stochastic differential equations (SDEs) driven by the G-Brownian motion is characterized by the nonlinear partial differential equations. The main result generalizes the existing ones for SDEs driven by the standard Brownian motion.

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Acknowledgements

The authors are grateful to Professor Fengyu Wang for his guidance, valuable suggestion, and comments on earlier versions of the paper, as well as Professor Yongsheng Song for his patient help and corrections.

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Authors and Affiliations

  1. Department of Mathematics, Swansea University, Swansea, SA1 8EN, UK

    Panpan Ren

  2. Center for Applied Mathematics, Tianjin University, Tianjin, 300072, China

    Fen-Fen Yang

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  1. Panpan Ren
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  2. Fen-Fen Yang
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Correspondence to Fen-Fen Yang.

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Ren, P., Yang, FF. Path independence of additive functionals for stochastic differential equations under G-framework. Front. Math. China 14, 135–148 (2019). https://doi.org/10.1007/s11464-019-0752-1

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  • DOI: https://doi.org/10.1007/s11464-019-0752-1

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