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 (7)

• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
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• A New Central Limit Theorem under Sublinear Expectations
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• Girsanov's formula for G-Brownian motion
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Cited by in corpus (7)

• Supermartingale Decomposition Theorem under G-expectation
• Path Independence of Additive Functionals for SDEs under G-framework
• Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty
• A stochastic recursive optimal control problem under the G-expectation framework
• G-consistent price system and bid-ask pricing for European contingent claims under Knightian uncertainty
• Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion
• Jensen's Inequality for Backward SDEs Driven by $G$-Brownian motion