A variational representation for G-Brownian functionals
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Abstract: The purpose of this paper is to establish a variational representation log E [e^{f(B)}] = sup_h E [f(B + int_0^{cdot} d_s h_s) - 1/2 int_0^1 h_s cdot (d_s h_s)] for functionals of the d-dimensional G-Brownian motion B. Here E is a sublinear expectation called G-expectation, f is any bounded function in the domain of E mapping C([0,1];R^d) to R, the integrals are taken with respect to the quadratic variation of B, and the supremum runs over all h's for which these integrals are well-defined. As an application, we give another proof of the results obtained by Gao-Jiang (2010), large deviations for G-Brownian motion.
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