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

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

zbMATH Keywords

comparison theoremFeynman-Kac formulaGirsanov transformation\(G\)-expectationbackward SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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