Comparison Theorem, Feynman-Kac Formula and Girsanov Transformation for BSDEs Driven by G-Brownian Motion

2012/12/21 by Hu, Mingshang, Ji, Shaolin, Peng, Shige +1 · 6 citations
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1212.5403

Abstract

In this paper, we study comparison theorem, nonlinear Feynman-Kac formula and Girsanov transformation of the BSDE driven by a G-Brownian motion.

Cited by

• Backward Stochastic Volterra integral equations driven by G-Brownian motion
• Stochastic PDEs driven by G-Brownian motion and the associated Backward Doubly Stochastic Differential Equations
• Pathwise Patching: A Geometric Construction of Quasi-Sure Solutions to G-SDEs
• G-BSDEs with non-Lipschitz coefficients and the corresponding stochastic recursive optimal control problem
• A Parametric Methodology for G-Expectations and Stochastic Systems under Model Uncertainty
• Infinite horizon quadratic backward stochastic differential equations driven by G-Brownian motion

Related

• Representation theorem for generators of BSDEs driven by G-Brownian motion and its applications
• Reflected Quadratic BSDEs driven by G-Brownian Motions
• Ergodic BSDEs driven by G-Brownian motion and their applications
• Comparison theorem for neutral stochastic functional differential\n equations driven by G-Brownian motion
• Generalized Feynman-Kac Formula under volatility uncertainty