Forward-backward stochastic differential equations driven by G-Brownian motion

Bingjun Wang and Mingxia Yuan

Applied Mathematics and Computation, 2019, vol. 349, issue C, 39-47

Abstract: In this paper, we study the solution of coupled forward-backward stochastic differential equation driven by G-Brownian motion with monotone coefficients. Besides, we prove that the solution is the minimal one.

Keywords: Forward-backward equation; G-Brownian motion; Monotone (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:349:y:2019:i:c:p:39-47

DOI: 10.1016/j.amc.2018.12.031

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