Backward stochastic differential equations driven by G-Brownian motion
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Publication:2434501
DOI10.1016/J.SPA.2013.09.010zbMATH Open1300.60074arXiv1206.5889OpenAlexW2131071649MaRDI QIDQ2434501FDOQ2434501
Authors: Mingshang Hu, Shaolin Ji, Shige Peng, Yongsheng Song 
Publication date: 6 February 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: In this paper, we study backward stochastic differential equations driven by a G-Brownian motion. The solution of such new type of BSDE is a triple (Y,Z,K) where K is a decreasing G-martingale. Under a Lipschitz condition for generator f and g in Y and Z. The existence and uniqueness of the solution (Y,Z,K) is proved. Although the methods used in the proof and the related estimates are quite different from the classical proof for BSDEs, stochastic calculus in G-framework plays a central role.
Full work available at URL: https://arxiv.org/abs/1206.5889
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Cited In (only showing first 100 items - show all)
- Reflected backward stochastic differential equations driven by \(G\)-Brownian motion under monotonicity condition
- Almost sure exponential stability of nonlinear stochastic delay hybrid systems driven by \(G\)-Brownian motion
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