Dynkin’s formula under the GG-expectation

In 2006, Peng introduced a new kind of nonlinear expectation—GG-expectation (see Peng, 2006). And he also established a theory of stochastic calculus under the GG-expectation (see Peng, 2006, Peng, 2007a and Peng, 2008a). In this paper, we will prove a nonlinear Dynkin’s formula when the generator of a GG-Itô’s diffusion is well defined in the framework of the GG-expectation.