Hu, Mingshang; Ji, Shaolin; Peng, Shige; Song, Yongsheng - In: Stochastic Processes and their Applications 124 (2014) 2, pp. 1170-1195
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.
