Harnack Inequalities for G-SDEs with Multiplicative Noise
Author:
Funder
Young Scientists Fund
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s40304-022-00290-x.pdf
Reference22 articles.
1. Bao, J., Wang, F.-Y., Yuan, C.: Derivative formula and Harnack inequality for degenerate functionals SDEs. Stoch. Dyn. 13, 1–22 (2013)
2. Cohen,S., Ji,S., Peng,S.: Sublinear expectations and Martingales in discrete time. (2011). arXiv:1104.5390
3. Denis, L., Hu, M., Peng, S.: Function spaces and capacity related to a sublinear expectation: application to $$G$$-Brownian motion pathes. Potential Anal. 34, 139–161 (2011)
4. Hu, M., Ji, S., Peng, S., Song, Y.: Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by $$G$$-Brownian motion. Stoch. Process. Appl. 124, 1170–1195 (2014)
5. Hu, M., Wang, F., Zheng, G.: Quasi-continuous random variables and processes under the $$G$$-expectation framework. Stoch. Process. Appl. 126, 2367–2387 (2016)
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