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

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DOI10.1016/j.spa.2013.10.009zbMath1300.60075arXiv1212.5403MaRDI 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 theorem; Feynman-Kac formula; Girsanov transformation; \(G\)-expectation; backward SDEs

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

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