Solutions of BSDEs with a kind of non-Lipschitz coefficients driven by G-Brownian motion

Wei Zhang and Long Jiang

Statistics & Probability Letters, 2021, vol. 171, issue C

Abstract: In this paper, we study the following backward stochastic differential equations driven by G-Brownian motion (G-BSDEs in short) Yt=ξ+∫tTf(s,Ys,Zs)ds+∫tTg(s,Ys,Zs)d〈B〉s−∫tTZsdBs−(KT−Kt)with a kind of non-Lipschitz coefficients. An existence and uniqueness theorem is established.

Keywords: G-Brownian motion; Non-Lipschitz conditions; Picard iteration (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2020.109024

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