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 -solution for coupled forward-backward stochastic differential equations driven by G-Brownian motion (G-FBSDEs) with arbitrary under weakly coupling condition. Specially, the result for is completely different from the one for . Furthermore, by considering the dual linear FBSDE under a suitable reference probability, we establish the comparison theorem for G-FBSDEs under weakly coupling condition.
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