Backward stochastic differential equations driven by G-Brownian motion

Mingshang Hu, Shaolin Ji, Shige Peng and Yongsheng Song

Stochastic Processes and their Applications, 2014, vol. 124, issue 1, 759-784

Abstract: 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.

Keywords: G-expectation; G-Brownian motion; G-martingale; Backward SDEs (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (22)

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DOI: 10.1016/j.spa.2013.09.010

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