Quadratic backward stochastic differential equations driven by G-Brownian motion: discrete solutions and approximation

DOI10.1016/J.SPA.2017.12.004MaRDI QIDQ1615909zbMATH OpenOpenAlexFDO

Authors Ying Hu, Abdoulaye Soumana Hima, Yiqing Lin

Publication date 31 October 2018

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

Full work available at URL https://arxiv.org/abs/1603.03637

zbMATH Keywords

discretization\(G\)-Brownian motionbackward stochastic differential equationsfully nonlinear PDEsquadratic growth

Mathematics Subject Classification ID

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

Abstract: In this paper, we consider backward stochastic differential equations driven by $G$-Brownian motion (GBSDEs) under quadratic assumptions on coefficients. We prove the existence and uniqueness of solution for such equations. On the one hand, a priori estimates are obtained by applying the Girsanov type theorem in the $G$-framework, from which we deduce the uniqueness. On the other hand, to prove the existence of solutions, we first construct solutions for discrete GBSDEs by solving corresponding fully nonlinear PDEs, and then approximate solutions for general quadratic GBSDEs in Banach spaces.

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Cited in

(25)

• Forward-backward stochastic differential equations driven by \(G\)-Brownian motion under weakly coupling condition
• BSDEs driven by \(G\)-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs
• Mean-field backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients
• \(G\)-stochastic maximum principle for risk-sensitive control problem and its applications
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• Regularity and optimality necessary conditions for system of G-stochastic differential equations

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