Quadratic backward stochastic differential equations driven by G-Brownian motion: discrete solutions and approximation
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Publication:1615909
DOI10.1016/J.SPA.2017.12.004zbMATH Open1401.60113arXiv1603.03637OpenAlexW2963020957MaRDI QIDQ1615909FDOQ1615909
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)
Abstract: In this paper, we consider backward stochastic differential equations driven by -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 -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.
Full work available at URL: https://arxiv.org/abs/1603.03637
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