Backward Stochastic Differential Equations Driven by G-Brownian Motion
Probability
2012-06-27 v1
Abstract
In this paper, we study backward stochastic differential equations driven by a G-Brownian motion. The solution of such new type of BSDE is a triple (Y,Z,K) where K is a decreasing G-martingale. Under a Lipschitz condition for generator f and g in Y and Z. The existence and uniqueness of the solution (Y,Z,K) is proved. Although the methods used in the proof and the related estimates are quite different from the classical proof for BSDEs, stochastic calculus in G-framework plays a central role.
Keywords
Cite
@article{arxiv.1206.5889,
title = {Backward Stochastic Differential Equations Driven by G-Brownian Motion},
author = {Mingshang Hu and Shaolin Ji and Shige Peng and Yongsheng Song},
journal= {arXiv preprint arXiv:1206.5889},
year = {2012}
}
Comments
27 pages