Backward stochastic differential equations driven by G-Brownian motion

In this paper, we study the backward stochastic differential equations driven by a G-Brownian motion (Bt)t≥0 in the following form: Yt=ξ+∫tTf(s,Ys,Zs)ds+∫tTg(s,Ys,Zs)d〈B〉s−∫tTZsdBs−(KT−Kt), where K is a decreasing G-martingale. Under Lipschitz conditions of f and g in Y and Z, the existence and uniqueness of the solution (Y,Z,K) of the above BSDE in the G-framework is proved.

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Year of publication:	2014
Authors:	Hu, Mingshang ; Ji, Shaolin ; Peng, Shige ; Song, Yongsheng
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 1, p. 759-784
Publisher:	Elsevier
Subject:	G-expectation \| G-Brownian motion \| G-martingale \| Backward SDEs

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011065041