BSDEs driven by $G$-Brownian motion with uniformly continuous generators
Probability
2020-12-03 v1
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 -Brownian motion (-BSDEs). In fact, when the generators are Lipschitz continuous in and uniformly continuous in , we construct the unique solution to such equations by monotone convergence argument. The comparison theorem and related Feynman-Kac formula are stated as well.
Cite
@article{arxiv.1806.02265,
title = {BSDEs driven by $G$-Brownian motion with uniformly continuous generators},
author = {Falei Wang and Guoqiang Zheng},
journal= {arXiv preprint arXiv:1806.02265},
year = {2020}
}