Forward-backward stochastic differential equations driven by G-Brownian motion under weakly coupling condition

DOI10.1016/J.JMAA.2023.127274MaRDI QIDQ6097700zbMATH OpenOpenAlexFDO

Authors Xiaojuan Li

Publication date 7 June 2023

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2211.15041

zbMATH Keywords

\(G\)-Brownian motion\(G\)-expectationbackward stochastic differential equationcomparison theorem

Mathematics Subject Classification ID

Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Abstract: In this paper, we obtain the existence and uniqueness theorem of $L^p$-solution for coupled forward-backward stochastic differential equations driven by G-Brownian motion (G-FBSDEs) with arbitrary $T$ under weakly coupling condition. Specially, the result for $pin(1,2)$ is completely different from the one for $pgeq2$. Furthermore, by considering the dual linear FBSDE under a suitable reference probability, we establish the comparison theorem for G-FBSDEs under weakly coupling condition.

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Cited in

(3)

• Forward-backward stochastic differential equations driven by \(G\)-Brownian motion
• Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients in \((y, z)\)
• Mean-field forward-backward stochastic differential equations driven by G-Brownian motion

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