Backward stochastic differential equations driven by \(G\)-Brownian motion

DOI10.1016/j.spa.2013.09.010zbMath1300.60074arXiv1206.5889OpenAlexW2131071649MaRDI QIDQ2434501

Shige Peng, Yongsheng Song, Ming Shang Hu, Shaolin Ji

Publication date: 6 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.5889

zbMATH Keywords

\(G\)-Brownian motion\(G\)-expectationbackward SDEs\(G\)-martingale

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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