Path Independence of Additive Functionals for SDEs under G-framework

Abstract

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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Cited by in corpus (3)

• Path independence of the additive functionals for McKean-Vlasov stochastic differential equations with jumps
• Path independence of the additive functionals for stochastic differential equations driven by G-Lévy processes
• Harnack and log Harnack Inequalities for $G$-SDEs with Multiplicative Noise