English

Forward-backward stochastic differential equations driven by G-Brownian motion under weakly coupling condition

Probability 2022-11-29 v1

Abstract

In this paper, we obtain the existence and uniqueness theorem of LpL^{p}-solution for coupled forward-backward stochastic differential equations driven by G-Brownian motion (G-FBSDEs) with arbitrary TT under weakly coupling condition. Specially, the result for p(1,2)p\in(1,2) is completely different from the one for p2p\geq2. Furthermore, by considering the dual linear FBSDE under a suitable reference probability, we establish the comparison theorem for G-FBSDEs under weakly coupling condition.

Keywords

Cite

@article{arxiv.2211.15041,
  title  = {Forward-backward stochastic differential equations driven by G-Brownian motion under weakly coupling condition},
  author = {Xiaojuan Li},
  journal= {arXiv preprint arXiv:2211.15041},
  year   = {2022}
}

Comments

19 pages

R2 v1 2026-06-28T07:14:21.480Z