Backward Stochastic Differential Equations Driven by G-Brownian Motion with Uniformly Continuous Generators

Falei Wang () and Guoqiang Zheng ()
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Falei Wang: Shandong University
Guoqiang Zheng: Southeast University

Journal of Theoretical Probability, 2021, vol. 34, issue 2, 660-681

Abstract: Abstract The present paper is devoted to investigating the existence and uniqueness of solutions to a class of non-Lipschitz scalar-valued backward stochastic differential equations driven by G-Brownian motion. In fact, when the generators are Lipschitz continuous in y and uniformly continuous in z, we construct the unique solution to such equations by a linearization technique and a monotone convergence argument. The comparison theorem and related nonlinear Feynman–Kac formula are stated as well.

Keywords: BSDE; G-Brownian motion; Uniformly continuous generators; 60H10; 60H30 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s10959-020-00998-y

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