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arXiv · 1212.5403

Comparison Theorem, Feynman-Kac Formula and Girsanov Transformation for BSDEs Driven by G-Brownian Motion

Mingshang Hu·Shaolin Ji·Shige Peng·Yongsheng Song
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Abstract

In this paper, we study comparison theorem, nonlinear Feynman-Kac formula and Girsanov transformation of the BSDE driven by a G-Brownian motion.

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Mingshang Hu, Shaolin Ji, Shige Peng, Yongsheng Song. 2012-12-21. Comparison Theorem, Feynman-Kac Formula and Girsanov Transformation for BSDEs Driven by G-Brownian Motion. https://arxiv.org/abs/1212.5403

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