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

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.

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Year of publication:	2014
Authors:	Hu, Mingshang ; Ji, Shaolin ; Peng, Shige ; Song, Yongsheng
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 2, p. 1170-1195
Publisher:	Elsevier
Subject:	G-expectation \| Backward SDEs \| Comparison theorem \| Feynman–Kac formula \| Girsanov transformation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011064948