Infinite horizon quadratic backward stochastic differential equations driven by $G$-Brownian motion
Probability
2025-09-09 v1
Abstract
The aim is to prove the well-posedness of infinite horizon backward stochastic differential equations driven by -Brownian motion (-BSDEs) with quadratic generators. To this end, we provide a full construction of explicit solutions to linear -BSDEs with unbounded coefficients and the linearization method under the quadratic assumption. In addition, the comparison theorems for both finite and infinite horizon -BSDEs are established.
Cite
@article{arxiv.2509.05706,
title = {Infinite horizon quadratic backward stochastic differential equations driven by $G$-Brownian motion},
author = {Yiqing Lin and Yifan Sun and Falei Wang},
journal= {arXiv preprint arXiv:2509.05706},
year = {2025}
}