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Mathematics > Probability

arXiv:1812.03610 (math)
[Submitted on 10 Dec 2018 (v1), last revised 21 Dec 2018 (this version, v2)]

Title:Path Independence of Additive Functionals for SDEs under G-framework

Authors: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.
Subjects: Probability (math.PR)
Report number: Volume 14, Issue 1, pp 135--148
Cite as: arXiv:1812.03610 [math.PR]
  (or arXiv:1812.03610v2 [math.PR] for this version)
  https://doi.org/10.48550/arXiv.1812.03610
Journal reference: Front. Math. China(2019)
Related DOI: https://doi.org/10.1007/s11464-019-0752-1

Submission history

From: Fenfen Yang [view email]
[v1] Mon, 10 Dec 2018 03:46:44 UTC (14 KB)
[v2] Fri, 21 Dec 2018 09:39:36 UTC (14 KB)
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