Mean-field forward–backward stochastic differential equations driven by G-Brownian motion

Shengqiu Sun

Statistics & Probability Letters, 2025, vol. 223, issue C

Abstract: In this paper, we consider the mean-field forward–backward stochastic differential equations driven by G-Brownian motion with Lipschitz coefficients. The existence and uniqueness of solution on small time duration can be obtained by contraction mapping principle and some a prior estimates.

Keywords: G-expectation; G-Brownian motion; G-BSDE; Mean-field G-BSDE (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2025.110429

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