Frontiers of Mathematics in China >

2019 , Vol. 14 >Issue 1: 135 - 148

DOI: https://doi.org/10.1007/s11464-019-0752-1

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
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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.

Key words： Stochastic differential equation (SDE); partial differential equation (PDE); additive functional; G-SDEs; G-Brownian motion; nonlinear PDE

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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