Comparison theorem for path dependent SDEs driven by G-Brownian motion
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Comparison theorem for path dependent SDEs driven by \(G\)-Brownian motion
Comparison theorem for path dependent SDEs driven by \(G\)-Brownian motion
Abstract: Sufficient and necessary conditions are presented for the comparison theorem of path dependent -SDEs. Different from the corresponding study in path independent -SDEs, a probability method is applied to prove these results. Moreover, the results extend the ones in the linear expectation case.
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Cited in
(5)- On the comparison theorem for multi-dimensional \(G\)-SDEs
- Some properties for Itô processes driven by \(G\)-Brownian motion
- Path independence of additive functionals for stochastic differential equations under \(G\)-framework
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Comparison theorem for neutral stochastic functional differential equations driven by \(G\)-Brownian motion
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