Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion

Mingshang Hu, Shaolin Ji, Shige Peng and Yongsheng Song

Stochastic Processes and their Applications, 2014, vol. 124, issue 2, 1170-1195

Abstract: In this paper, we study comparison theorem, nonlinear Feynman–Kac formula and Girsanov transformation of the following BSDE driven by a G-Brownian motion: Yt=ξ+∫tTf(s,Ys,Zs)ds+∫tTg(s,Ys,Zs)d〈B〉s−∫tTZsdBs−(KT−Kt), where K is a decreasing G-martingale.

Keywords: G-expectation; Backward SDEs; Comparison theorem; Feynman–Kac formula; Girsanov transformation (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:124:y:2014:i:2:p:1170-1195

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DOI: 10.1016/j.spa.2013.10.009

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