Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion

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Abstract

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〈BâŒ- ∫tTZsdBs-(KT-Kt), where K is a decreasing G-martingale. © 2013 Elsevier B.V. All rights reserved.

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Hu, M., Ji, S., Peng, S., & Song, Y. (2014). Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion. Stochastic Processes and Their Applications, 124(2), 1170–1195. https://doi.org/10.1016/j.spa.2013.10.009

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