Generalized Feynman–Kac formula under volatility uncertainty

In this paper we provide a generalization of Feynmac–Kac formula under volatility uncertainty in presence linear term the PDE due to discounting. We state our result different hypothesis with respect derivation given by Hu et al. (2014), where Lipschitz continuity some functionals is assumed which not necessarily satisfied setting. particular, show that G-conditional expectation discounted payoff viscosity solution nonlinear PDE. applications, permits calculate such sublinear computationally efficient way.