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Stochastic Analysis and Applications Volume 40, 2022 - Issue 5
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Article

Comparison theorem for path dependent SDEs driven by G-Brownian motion

Xing Huanga Center for Applied Mathematics, Tianjin University, Tianjin, ChinaView further author information
&
Fen-Fen Yangb Department of Mathematics, Shanghai University, Shanghai, ChinaCorrespondence[email protected]
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Pages 765-775 | Received 30 Apr 2020, Accepted 15 Jul 2021, Published online: 12 Aug 2021
 
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Abstract

Sufficient and necessary conditions are presented for the comparison theorem of path dependent G-SDEs. Different from the corresponding study in path independent G-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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Funding

Supported in part by NNSFC (11801406).

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