Backward Stochastic Differential Equations Driven by G-Brownian Motion with Uniformly Continuous Coefficients in (y, z)

Shengqiu Sun ()
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Shengqiu Sun: Shandong Normal University

Journal of Theoretical Probability, 2022, vol. 35, issue 1, 370-409

Abstract: Abstract In this paper, we investigate backward stochastic differential equations driven by G-Brownian motion with uniformly continuous coefficients in (y, z). The existence and uniqueness of solutions are obtained via a method of Picard iteration, a linearization method and a monotone convergence argument. Furthermore, we establish the corresponding comparison theorem and related nonlinear Feynman–Kac formula.

Keywords: G-Brownian motion; G-BSDEs; Comparison theorem; Feynman–Kac formula; 60H10; 60H30 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10959-020-01057-2

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