Backward stochastic differential equations driven by G-Brownian motion with uniformly continuous generators
From MaRDI portal
Publication:2031004
Abstract: The present paper is devoted to investigating the existence and uniqueness of solutions to a class of non-Lipschitz scalar valued backward stochastic differential equations driven by -Brownian motion (-BSDEs). In fact, when the generators are Lipschitz continuous in and uniformly continuous in , we construct the unique solution to such equations by monotone convergence argument. The comparison theorem and related Feynman-Kac formula are stated as well.
Recommendations
- Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients in \((y, z)\)
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Mean-field backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients
- Backward stochastic differential equations driven by G-Brownian motion under a monotonicity condition
- Existence and uniqueness of solutions to BSDEs driven by fractional Brownian motion with uniformly continuous generator in the z-direction
Cites work
- G-expectation, G-Brownian motion and related stochastic calculus of Itô type
- A uniqueness theorem for the solution of backward stochastic differential equations
- Adapted solution of a backward stochastic differential equation
- Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Backward stochastic differential equations with a uniformly continuous generator and related \(g\)-expectation
- Backward stochastic differential equations with continuous coefficient
- BSDE with quadratic growth and unbounded terminal value
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion
- Ergodic BSDEs driven by G-Brownian motion and applications
- Existence of solution to scalar BSDEs with \(L\exp\left(\sqrt {\frac{2}{\lambda}\log(1+L)}\right)\)-integrable terminal values
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- scientific article; zbMATH DE number 1121855 (Why is no real title available?)
- Martingale representation theorem for the \(G\)-expectation
- Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
- Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and G-Brownian motion
- On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
- One-dimensional BSDEs with finite and infinite time horizons
- Portfolio optimization with ambiguous correlation and stochastic volatilities
- Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Quasi-continuous random variables and processes under the \(G\)-expectation framework
- Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
- Robust mean-variance hedging via \(G\)-expectation
- Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
- User’s guide to viscosity solutions of second order partial differential equations
- Wellposedness of second order backward SDEs
Cited in
(23)- Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
- Forward-backward stochastic differential equations driven by \(G\)-Brownian motion
- An averaging principle for nonlinear parabolic PDEs via FBSDEs driven by \(G\)-Brownian motion
- Reflected forward-backward stochastic differential equations driven by \(G\)-Brownian motion with continuous monotone coefficients
- Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients in \((y, z)\)
- BSDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients
- Local wellposedness of coupled backward stochastic differential equations driven by G-Brownian motions
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- On the backward stochastic differential equation with generator \(f(y)|z|^2\)
- On the existence and uniqueness of solutions to stochastic differential equations driven by \(G\)-Brownian motion with integral-Lipschitz coefficients
- A CLASS OF TWO-PARAMETER BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A BROWNIAN SHEET
- Existence and uniqueness of solutions to BSDEs driven by fractional Brownian motion with uniformly continuous generator in the z-direction
- Backward stochastic differential equations with generators of Osgood type driven by \(G\)-Brownian motion
- Backward doubly stochastic differential equations under linear growth condition
- Mean-field backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients
- Backward stochastic differential equations with a uniformly continuous generator and related \(g\)-expectation
- Reflected BSDEs driven by \(G\)-Brownian motion with time-varying Lipschitz coefficients
- Reflected backward stochastic differential equations driven by G-Brownian motion under monotonicity condition
- Multidimensional backward stochastic differential equation with generators under -order Mao's condition driven by G-Brownian motion
- Doubly reflected backward stochastic differential equations driven by G-Brownian motion with uniformly continuous coefficients
- Backward stochastic differential equation with p-order weak monotonicity condition generators driven by G-Brownian motion
- Reflected BSDEs driven by G-Brownian motion with non-Lipschitz coefficients
- Multidimensional backward stochastic differential equation with generators of Osgood type driven by G-Brownian motion
This page was built for publication: Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2031004)
