Comparison Theorem, Feynman-Kac Formula and Girsanov Transformation for BSDEs Driven by G-Brownian Motion
Probability
2012-12-24 v1
Abstract
In this paper, we study comparison theorem, nonlinear Feynman-Kac formula and Girsanov transformation of the BSDE driven by a G-Brownian motion.
Cite
@article{arxiv.1212.5403,
title = {Comparison Theorem, Feynman-Kac Formula and Girsanov Transformation for BSDEs Driven by G-Brownian Motion},
author = {Mingshang Hu and Shaolin Ji and Shige Peng and Yongsheng Song},
journal= {arXiv preprint arXiv:1212.5403},
year = {2012}
}