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

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:124

Article

Hu, Mingshang¹  Ji, Shaolin²  Peng, Shige^1,2  Song, Yongsheng³ 

[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

[2] Shandong Univ, Qilu Inst Finance, Jinan 250100, Peoples R China

[3] Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100864, Peoples R China

关键词: G-expectation;    Backward SDEs;    Comparison theorem;    Feynman-Kac formula;    Girsanov transformation;   

DOI  :  10.1016/j.spa.2013.10.009

来源: Elsevier

【 摘 要 】

In this paper, we study comparison theorem, nonlinear Feynman Kac formula and Girsanov transformation of the following BSDE driven by a G-Brownian motion: Y-1 = xi + integral(T)(t) f(s, Y-s, Z(s))d(s) + integral(T)(t) g(s, Y-s, Z(s))d < B >(s) - integral(T)(t) z(s)dB(s) - (K-T - K-t), where K is a decreasing G-martingale. (C) 2013 Elsevier B.V. All rights reserved.

【 授权许可】

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