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

From MaRDI portal
Revision as of 21:55, 2 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:2434760

DOI10.1016/j.spa.2013.10.009zbMath1300.60075arXiv1212.5403OpenAlexW1983809981MaRDI QIDQ2434760

Shaolin Ji, Yongsheng Song, Ming Shang Hu, Shige Peng

Publication date: 7 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.5403




Related Items (77)

Term structure modeling under volatility uncertaintyQuadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximationStochastic calculus with respect to \(G\)-Brownian motion viewed through rough pathsA law of large numbers under the nonlinear expectationGradient estimates for nonlinear diffusion semigroups by coupling methodsQuasi-continuous random variables and processes under the \(G\)-expectation frameworkStochastic optimal control problem with infinite horizon driven by G-Brownian motionNumerical simulations for \(G\)-Brownian motionNonlinear predictable representation and \({\mathbb{L}^1} \)-solutions of backward SDEs and second-order backward SDEsErgodic BSDEs driven by G-Brownian motion and applicationsDynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motionHarnack inequality and gradient estimate for functional \(G\)-SDEs with degenerate noiseSupermartingale decomposition theorem under \(G\)-expectationSolutions of BSDEs with a kind of non-Lipschitz coefficients driven by \(G\)-Brownian motionMulti-dimensional BSDEs driven by G-Brownian motion and related system of fully nonlinear PDEsBackward stochastic differential equations driven by \(G\)-Brownian motion with double reflectionsExtended conditional \(G\)-expectations and related stopping timesOn properties of solutions to Black-Scholes-Barenblatt equationsRobust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility AmbiguityMulti-valued backward stochastic differential equations driven byG-Brownian motion and its applicationsRobust mean-variance hedging via \(G\)-expectationPath independence of additive functionals for stochastic differential equations under \(G\)-frameworkA generalized stochastic differential utility driven by \(G\)-Brownian motionRelationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertaintyQuadratic BSDEs with mean reflection driven by G-brownian motionForward-backward stochastic differential equations driven by \(G\)-Brownian motion under weakly coupling conditionRobust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual SpaceMean-field stochastic differential equations driven by \(G\)-Brownian motionMaximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming\(G\)-stochastic maximum principle for risk-sensitive control problem and its applicationsGeneralized Feynman-Kac formula under volatility uncertaintyMulti-dimensional mean-reflected BSDEs driven by \(G\)-Brownian motion with time-varying non-Lipschitz coefficientsSecond order backward SDE with random terminal timeBackward nonlinear expectation equationsBackward stochastic differential equations driven by \(G\)-Brownian motionReflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motionBSDEs driven by \(G\)-Brownian motion with time-varying Lipschitz conditionRobust retirement and life insurance with inflation risk and model ambiguityStability analysis of impulsive stochastic Cohen–Grossberg neural networks driven by G-Brownian motionNon-linear expectations in spaces of Colombeau generalized functionsAn upper bound of large deviations for capacitiesStochastic dominance under the nonlinear expected utilitiesReflected stochastic differential equations driven by G-Brownian motion in non-convex domainsReflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacleThe quasi-sure limit of convex combinations of nonnegative measurable functionsA stochastic recursive optimal control problem under the G-expectation frameworkBSDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficientsLocal wellposedness of coupled backward stochastic differential equations driven by \(G\)-Brownian motionsProbabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEsStochastic control for a class of nonlinear kernels and applicationsReflected quadratic BSDEs driven by \(G\)-Brownian motionsProperties of \(G\)-martingales with finite variation and the application to \(G\)-Sobolev spacesForward-backward stochastic differential equations driven by \(G\)-Brownian motionRepresentation theorem for generators of BSDEs driven by \(G\)-Brownian motion and its applicationsStochastic optimal control problem with obstacle constraints in sublinear expectation frameworkHarnack inequality and applications for SDEs driven by \(G\)-Brownian motionAn efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motionLarge deviations for backward stochastic differential equations driven by \(G\)-Brownian motionBackward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generatorsAn \(\alpha\)-stable limit theorem under sublinear expectationStochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility AmbiguityBSDEs with mean reflection driven by \(G\)-Brownian motionConvergence to a self-normalized G-Brownian motionOptimal control with delayed information flow of systems driven by \(G\)-Brownian motionOn Monotonicity and Order-Preservation for MultidimensionalG-Diffusion ProcessesFurther results on stabilization of stochastic differential equations with delayed feedback control under \( G \)-expectation frameworkAn averaging principle for nonlinear parabolic PDEs via FBSDEs driven by \(G\)-Brownian motionInfinite horizon BSDEs under consistent nonlinear expectationsImproved Results on Stabilization of $G$-SDEs by Feedback Control Based on Discrete-Time ObservationsQuadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions\( G\)-expectation approach to stochastic orderingG-Doob-Meyer decomposition and its applications in bid-ask pricing for derivatives under Knightian uncertaintyDynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectationJensen's inequality for backward SDEs driven by \(G\)-Brownian motionMean-field backward stochastic differential equations driven by G-Brownian motion with uniformly continuous coefficientsBackward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients in \((y, z)\)Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion



Cites Work


This page was built for publication: Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion