Title of article :
Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by -Brownian motion
Author/Authors :
Hu، نويسنده , , Mingshang and Ji، نويسنده , , Shaolin and Peng، نويسنده , , Shige and Song، نويسنده , , Yongsheng، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2014
Pages :
26
From page :
1170
To page :
1195
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: Y t = ξ + ∫ t T f ( s , Y s , Z s ) d s + ∫ t T g ( s , Y s , Z s ) d 〈 B 〉 s − ∫ t T Z s d B s − ( K T − K t ) , where K is a decreasing G -martingale.
Keywords :
Comparison theorem , Girsanov transformation , Feynman–Kac formula , g -expectation , Backward SDEs
Journal title :
Stochastic Processes and their Applications
Serial Year :
2014
Journal title :
Stochastic Processes and their Applications
Record number :
1579252
Link To Document :
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