Representation theorem for generators of BSDEs driven by G-Brownian motion and its applications

2013/06/08 by Kun Heand, Heand, Kun, Mingshang Hu +1
Decision Sciences · Economics, Econometrics and Finance · #Economic theories and models #FOS: Mathematics #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1306.1929

openalex publication_date 2013/06/08 · openalex created_date 2019/06/27 · openalex updated_date 2026/07/28

Abstract

We obtain a representation theorem for the generators of BSDEs driven by G-Brownian motions, and then we use the representation theorem to get a converse comparison theorem for G-BSDEs and some equivalent results for nonlinear expectations generated by G-BSDEs.

Citations

• G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty

Related

• Comparison Theorem, Feynman-Kac Formula and Girsanov Transformation for BSDEs Driven by G-Brownian Motion
• Representation theorems for generators of BSDEs and the extended g-expectations in probability spaces with general filtration
• Representation theorem for generators of quadratic BSDEs
• BSDEs driven by G-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs
• Some apriori estimates of G-BSDEs and the G-martingale representation for a special case