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

By Mingshang Hu, Shaolin Ji, Shige Peng, Yongsheng Song. 2012

174 citations recorded by the source corpus.

In this paper, we study comparison theorem, nonlinear Feynman–Kac formula and Girsanov transformation of the following BSDE driven by a G-Brownian motion: Yt=ξ+∫tTf(s,Ys,Zs)ds+∫tTg(s,Ys,Zs)d〈B〉s−∫tTZsdBs−(KT−Kt), where K is a decreasing G-martingale.

Subfields: Economics and Econometrics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/b1fc37b53fa2443afa2e536ec14db8c433cc9686

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Dylan Possamaï
2. Xiaolu Tan
3. Falei Wang
4. Guoqiang Zheng
5. Mingshang Hu
6. Marcel Nutz
7. Nicole El Karoui

In Finance

1. Falei Wang
2. Guoqiang Zheng
3. Dylan Possamaï
4. Xiaolu Tan
5. Chao Zhou
6. Mingshang Hu
7. Shige Peng
8. Marcel Nutz

In Mathematical Physics

1. Falei Wang
2. Guoqiang Zheng
3. Xiaolu Tan
4. Mingshang Hu
5. Dylan Possamaï

Citations in the corpus

• Quasi-continuous random variables and processes under the G-expectation framework (2014, result): “In particular, by slightly more involved estimates, our results still hold for the following PDE (see [3, 4]):”
• Stochastic control for a class of nonlinear kernels and applications (2015, background): “We also would like to mention a related theory developed around the notion of G−expectations introduced by Peng [70], which lead to the so-called G−BSDEs (see [44, 45]).”