Title of article
Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by -Brownian motion
Author/Authors
Hu، نويسنده , , Mingshang and Ji، نويسنده , , Shaolin and Peng، نويسنده , , Shige and Song، نويسنده , , Yongsheng، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2014
Pages
26
From page
1170
To page
1195
Abstract
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 t = ξ + ∫ t T f ( s , Y s , Z s ) d s + ∫ t T g ( s , Y s , Z s ) d 〈 B 〉 s − ∫ t T Z s d B s − ( K T − K t ) , where K is a decreasing G -martingale.
Keywords
Comparison theorem , Girsanov transformation , Feynman–Kac formula , g -expectation , Backward SDEs
Journal title
Stochastic Processes and their Applications
Serial Year
2014
Journal title
Stochastic Processes and their Applications
Record number
1579252
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