RESEARCH ARTICLE

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

  • Panpan REN 1 ,
  • Fen-Fen YANG , 2
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  • 1. Department of Mathematics, Swansea University, Swansea, SA1 8EN, UK
  • 2. Center for Applied Mathematics, Tianjin University, Tianjin 300072, China

Received date: 11 Dec 2018

Accepted date: 24 Jan 2019

Published date: 22 Mar 2019

Copyright

2019 Higher Education Press and Springer-Verlag GmbH Germany, part of Springer Nature

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.

Cite this article

Panpan REN , Fen-Fen YANG . Path independence of additive functionals for stochastic differential equations under G-framework[J]. Frontiers of Mathematics in China, 2019 , 14(1) : 135 -148 . DOI: 10.1007/s11464-019-0752-1

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