Path Independence of Additive Functionals for SDEs under G-framework
| Autor: | Ren, Panpan, Yang, Fen-Fen |
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| Rok vydání: | 2018 |
| Předmět: | |
| Zdroj: | Front. Math. China(2019) |
| Druh dokumentu: | Working Paper |
| DOI: | 10.1007/s11464-019-0752-1 |
| Popis: | 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. |
| Databáze: | arXiv |
| Externí odkaz: |
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