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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Bibliographic Details
Published inStochastic processes and their applications Vol. 124; no. 2; pp. 1170 - 1195
Main Authors Hu, Mingshang, Ji, Shaolin, Peng, Shige, Song, Yongsheng
Format Journal Article
LanguageEnglish
Published Elsevier B.V 01.02.2014
Subjects
[formula omitted]-expectation
Backward SDEs
Comparison theorem
Feynman–Kac formula
Girsanov transformation
G-expectation
Comparison theorem
Backward SDEs
Girsanov transformation
Feynman–Kac formula
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Summary: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.
ISSN:0304-4149
1879-209X
DOI:10.1016/j.spa.2013.10.009