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Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion

Citations

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Cited by:

  1. Hu, Mingshang & Ji, Shaolin, 2017. "Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 127(1), pages 107-134.
  2. Li, Hanwu, 2019. "Optimal stopping under $\textit{G}$-expectation," Center for Mathematical Economics Working Papers 606, Center for Mathematical Economics, Bielefeld University.
  3. Ibrahim Dakaou & Abdoulaye Soumana Hima, 2021. "Large Deviations for Backward Stochastic Differential Equations Driven by G-Brownian Motion," Journal of Theoretical Probability, Springer, vol. 34(2), pages 499-521, June.
  4. Falei Wang & Guoqiang Zheng, 2021. "Backward Stochastic Differential Equations Driven by G-Brownian Motion with Uniformly Continuous Generators," Journal of Theoretical Probability, Springer, vol. 34(2), pages 660-681, June.
  5. Hu, Ying & Tang, Shanjian & Wang, Falei, 2022. "Quadratic G-BSDEs with convex generators and unbounded terminal conditions," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 363-390.
  6. Hölzermann, Julian, 2020. "Pricing Interest Rate Derivatives under Volatility Uncertainty," Center for Mathematical Economics Working Papers 633, Center for Mathematical Economics, Bielefeld University.
  7. He, Wei, 2024. "Multi-dimensional mean-reflected BSDEs driven by G-Brownian motion with time-varying non-Lipschitz coefficients," Statistics & Probability Letters, Elsevier, vol. 206(C).
  8. Julian Holzermann, 2018. "The Hull-White Model under Volatility Uncertainty," Papers 1808.03463, arXiv.org, revised Jan 2021.
  9. Biagini, Francesca & Mancin, Jacopo & Brandis, Thilo Meyer, 2019. "Robust mean–variance hedging via G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 129(4), pages 1287-1325.
  10. Hu, Mingshang & Ji, Xiaojun & Liu, Guomin, 2021. "On the strong Markov property for stochastic differential equations driven by G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 131(C), pages 417-453.
  11. Shige Peng & Huilin Zhang, 2022. "Wong–Zakai Approximation for Stochastic Differential Equations Driven by G-Brownian Motion," Journal of Theoretical Probability, Springer, vol. 35(1), pages 410-425, March.
  12. Hölzermann, Julian & Lin, Qian, 2019. "Term Structure Modeling under Volatility Uncertainty: A Forward Rate Model driven by G-Brownian Motion," Center for Mathematical Economics Working Papers 613, Center for Mathematical Economics, Bielefeld University.
  13. Li, Hanwu & Peng, Shige & Soumana Hima, Abdoulaye, 2018. "Reflected Solutions of BSDEs Driven by $\textit{G}$-Brownian Motion," Center for Mathematical Economics Working Papers 590, Center for Mathematical Economics, Bielefeld University.
  14. Julian Holzermann, 2020. "Pricing Interest Rate Derivatives under Volatility Uncertainty," Papers 2003.04606, arXiv.org, revised Nov 2021.
  15. Hölzermann, Julian, 2018. "Bond Pricing under Knightian Uncertainty. A Short Rate Model with Drift and Volatility Uncertainty," Center for Mathematical Economics Working Papers 582, Center for Mathematical Economics, Bielefeld University.
  16. Erhan Bayraktar & Alexander Munk, 2014. "An $\alpha$-stable limit theorem under sublinear expectation," Papers 1409.7960, arXiv.org, revised Jun 2016.
  17. Julian Holzermann, 2019. "Term Structure Modeling under Volatility Uncertainty," Papers 1904.02930, arXiv.org, revised Sep 2021.
  18. Zhang, Wei & Jiang, Long, 2021. "Solutions of BSDEs with a kind of non-Lipschitz coefficients driven by G-Brownian motion," Statistics & Probability Letters, Elsevier, vol. 171(C).
  19. Hu, Mingshang & Wang, Falei, 2021. "Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs," Stochastic Processes and their Applications, Elsevier, vol. 141(C), pages 139-171.
  20. Song, Yongsheng, 2019. "Properties of G-martingales with finite variation and the application to G-Sobolev spaces," Stochastic Processes and their Applications, Elsevier, vol. 129(6), pages 2066-2085.
  21. Hanwu Li & Falei Wang, 2019. "Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework," Journal of Optimization Theory and Applications, Springer, vol. 183(2), pages 422-439, November.
  22. Hanwu Li & Yongsheng Song, 2021. "Backward Stochastic Differential Equations Driven by G-Brownian Motion with Double Reflections," Journal of Theoretical Probability, Springer, vol. 34(4), pages 2285-2314, December.
  23. Hu, Ying & Lin, Yiqing & Soumana Hima, Abdoulaye, 2018. "Quadratic backward stochastic differential equations driven by G-Brownian motion: Discrete solutions and approximation," Stochastic Processes and their Applications, Elsevier, vol. 128(11), pages 3724-3750.
  24. Wang, Bingjun & Yuan, Mingxia, 2019. "Forward-backward stochastic differential equations driven by G-Brownian motion," Applied Mathematics and Computation, Elsevier, vol. 349(C), pages 39-47.
  25. Dylan Possamai & Xiaolu Tan & Chao Zhou, 2015. "Stochastic control for a class of nonlinear kernels and applications," Papers 1510.08439, arXiv.org, revised Jul 2017.
  26. Akhtari, Bahar & Biagini, Francesca & Mazzon, Andrea & Oberpriller, Katharina, 2023. "Generalized Feynman–Kac formula under volatility uncertainty," Stochastic Processes and their Applications, Elsevier, vol. 166(C).
  27. Hu, Mingshang & Wang, Falei & Zheng, Guoqiang, 2016. "Quasi-continuous random variables and processes under the G-expectation framework," Stochastic Processes and their Applications, Elsevier, vol. 126(8), pages 2367-2387.
  28. Francesca Biagini & Jacopo Mancin & Thilo Meyer Brandis, 2016. "Robust Mean-Variance Hedging via G-Expectation," Papers 1602.05484, arXiv.org, revised Aug 2016.
  29. Li, Hanwu & Peng, Shige, 2020. "Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle," Stochastic Processes and their Applications, Elsevier, vol. 130(11), pages 6556-6579.
  30. Park, Kyunghyun & Wong, Hoi Ying & Yan, Tingjin, 2023. "Robust retirement and life insurance with inflation risk and model ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 1-30.
  31. Shengqiu Sun, 2022. "Backward Stochastic Differential Equations Driven by G-Brownian Motion with Uniformly Continuous Coefficients in (y, z)," Journal of Theoretical Probability, Springer, vol. 35(1), pages 370-409, March.
  32. Erhan Bayraktar & Alexander Munk, 2014. "Comparing the $G$-Normal Distribution to its Classical Counterpart," Papers 1407.5139, arXiv.org, revised Dec 2014.
  33. Bahar Akhtari & Francesca Biagini & Andrea Mazzon & Katharina Oberpriller, 2020. "Generalized Feynman-Kac Formula under volatility uncertainty," Papers 2012.08163, arXiv.org, revised Nov 2022.
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