Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion
Year of publication: |
2014
|
---|---|
Authors: | Hu, Mingshang ; Ji, Shaolin ; Peng, Shige ; Song, Yongsheng |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 2, p. 1170-1195
|
Publisher: |
Elsevier |
Subject: | G-expectation | Backward SDEs | Comparison theorem | Feynman–Kac formula | Girsanov transformation |
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