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BIBTEX RIS

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

2019; Higher Education Press; Volume: 14; Issue: 1 Linguagem: Inglês

10.1007/s11464-019-0752-1

ISSN

1673-3576

Autores

Panpan Ren, Fen-Fen Yang,

Tópico(s)

Economic theories and models

Resumo

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.

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