Forward-backward stochastic differential equations driven by G-Brownian motion
Probability
2021-04-15 v1 Analysis of PDEs
Optimization and Control
Abstract
In this paper, we study the existence and uniqueness of solutions to the fully coupled nonlinear forward-backward stochastic differential equations driven by G-Brownian motion. Assuming that the diffusion coefficient is uniformly elliptic and all coefficients are differentiable, combining the results of fully nonlinear PDEs, we prove the existence and uniqueness of solutions to these equations.
Keywords
Cite
@article{arxiv.2104.06868,
title = {Forward-backward stochastic differential equations driven by G-Brownian motion},
author = {Huan Lu and Yongsheng Song},
journal= {arXiv preprint arXiv:2104.06868},
year = {2021}
}