A PROBABILISTIC CHARACTERIZATION OF G-HARMONIC FUNCTIONS

A Probabilistic Characterization of g-Harmonic Functions

Associated with a quasi-linear generator function g, we give a definition of g-harmonic functions.The relation between the g-harmonic functions and g-martingales will be delineated.It is direct to construct such relation for smooth slippers case, but for continuous case we need the theory of viscosity solution.Under the nonlinear expectation mechan

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