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

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.

Keywords

Stochastic differential equation (SDE) / partial differential equation (PDE) / additive functional / G-SDEs / G-Brownian motion / nonlinear PDE

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