In this paper, we study the backward stochastic differential equations driven by a G-Brownian motion (Bt)t≥0 in the following form: Yt=ξ+∫tTf(s,Ys,Zs)ds+∫tTg(s,Ys,Zs)d〈B〉s−∫tTZsdBs−(KT−Kt), where K is a decreasing G-martingale. Under Lipschitz conditions of f and g in Y and Z,...

In this paper, we study the pricing of contingent claims under G-expectation. In order to accomodate volatility uncertainty, the price of the risky security is supposed to governed by a general linear stochastic differential equation (SDE) driven by G-Brownian motion. Utilizing the recently...

A terminal perturbation method is introduced to study the backward approach to continuous time mean-variance portfolio selection with bankruptcy prohibition in a complete market model. Using Ekeland's variational principle, we obtain a necessary condition, i.e. the stochastic maximum principle,...