BSDEs driven by G-Brownian motion with time-varying uniformly continuous generators
Probability
2024-09-26 v1 Statistics Theory
Statistics Theory
Abstract
In this paper, we study the backward stochastic differential equations driven by G-Brownian motion under the condition that the generator is time-varying Lipschitz continuous with respect to y and time-varying uniformly continuous with respect to z. With the help of linearization method and the G-stochastic analysis techniques, we construct the approximating sequences of G-BSDE and obtain some precise a priori estimates. By combining this with the approximation method, we prove the existence and uniqueness of the solution under the time-varying conditions, as well as the comparison theorem.
Keywords
Cite
@article{arxiv.2409.16574,
title = {BSDEs driven by G-Brownian motion with time-varying uniformly continuous generators},
author = {Bingru Zhao},
journal= {arXiv preprint arXiv:2409.16574},
year = {2024}
}