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

Abstract

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

References in corpus (4)

• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
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Cited by in corpus (1)

• Jensen's Inequality for Backward SDEs Driven by $G$-Brownian motion