Article ID Journal Published Year Pages File Type
1155632 Stochastic Processes and their Applications 2014 26 Pages PDF
Abstract

In this paper, we study comparison theorem, nonlinear Feynman–Kac formula and Girsanov transformation of the following BSDE driven by a GG-Brownian motion: Yt=ξ+∫tTf(s,Ys,Zs)ds+∫tTg(s,Ys,Zs)d〈B〉s−∫tTZsdBs−(KT−Kt), where KK is a decreasing GG-martingale.

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Physical Sciences and Engineering Mathematics Mathematics (General)
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Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by GG-Brownian motion
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