Multi-dimensional G-Backward Stochastic Differential Equations with Random Horizon

Yiqing Lin (), Guomin Liu (), Yue Niu () and Falei Wang ()
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Yiqing Lin: Shanghai Jiao Tong University
Guomin Liu: Nankai University
Yue Niu: Shandong University
Falei Wang: Shandong University

Journal of Theoretical Probability, 2025, vol. 38, issue 4, 1-31

Abstract: Abstract The paper investigates the multi-dimensional backward stochastic differential equations driven by G-Brownian motions (G-BSDEs) with random horizon. We first study the one-dimensional case with the help of the linearization method and quasi-continuous stopping times theory. Based on this, we establish the well-posedness result of the multi-dimensional case with diagonal generators through the Picard iteration argument under a univariate monotonicity assumption. In addition, the comparison principle and stability property are also discussed.

Keywords: G-Brownian motion; Multi-dimensional BSDEs; Random horizon; Comparison principle; 60H10; 60H30 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10959-025-01453-6

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