Year: 2020
Type: preprint
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.
Source: arXiv (Cornell University)
Authors: Huang, Xing, Yang, Fen-Fen
Institution: Tianjin University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3014498490