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math.PR2012★ 15 cited
Comparison Theorem, Feynman-Kac Formula and Girsanov Transformation for BSDEs Driven by G-Brownian Motion
Mingshang Hu, Shaolin Ji, Shige Peng +1
In this paper, we study comparison theorem, nonlinear Feynman-Kac formula and Girsanov transformation of the BSDE driven by a G-Brownian motion.
math.PR2012★ 23 cited
Backward Stochastic Differential Equations Driven by G-Brownian Motion
Mingshang Hu, Shaolin Ji, Shige Peng +1
In this paper, we study backward stochastic differential equations driven by a G-Brownian motion. The solution of such new type of BSDE is a triple (Y,Z,K) where K is a decreasing…