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

Panpan Ren; Fen-Fen Yang

doi:10.1007/s11464-019-0752-1

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

Panpan Ren, Fen-Fen Yang^*

^*Corresponding author for this work

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

8 Citations (Scopus)

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.

Original language	English
Pages (from-to)	135-148
Journal	Frontiers of Mathematics in China
Volume	14
Issue number	1
DOIs	https://doi.org/10.1007/s11464-019-0752-1
Publication status	Published - 1 Feb 2019
Externally published	Yes

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Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].

Research Keywords

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

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title = "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 = "additive functional, G-Brownian motion, G-SDEs, nonlinear PDE, partial differential equation (PDE), Stochastic differential equation (SDE)",

author = "Panpan Ren and Fen-Fen Yang",

note = "Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].",

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T1 - Path independence of additive functionals for stochastic differential equations under G-framework

AU - Ren, Panpan

AU - Yang, Fen-Fen

N1 - Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].

PY - 2019/2/1

Y1 - 2019/2/1

N2 - 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.

AB - 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.

KW - additive functional

KW - G-Brownian motion

KW - G-SDEs

KW - nonlinear PDE

KW - partial differential equation (PDE)

KW - Stochastic differential equation (SDE)

UR - http://www.scopus.com/inward/record.url?scp=85062796995&partnerID=8YFLogxK

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U2 - 10.1007/s11464-019-0752-1

DO - 10.1007/s11464-019-0752-1

M3 - RGC 21 - Publication in refereed journal

SN - 1673-3452

VL - 14

SP - 135

EP - 148

JO - Frontiers of Mathematics in China

JF - Frontiers of Mathematics in China

IS - 1

ER -

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

Abstract

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Research Keywords

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