کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
11016090 | 1781691 | 2018 | 27 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Quadratic backward stochastic differential equations driven by G-Brownian motion: Discrete solutions and approximation
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, we consider backward stochastic differential equations driven by G-Brownian motion (GBSDEs) under quadratic assumptions on coefficients. We prove the existence and uniqueness of solution for such equations. On the one hand, a priori estimates are obtained by applying the Girsanov type theorem in the G-framework, from which we deduce the uniqueness. On the other hand, to prove the existence of solutions, we first construct solutions for discrete GBSDEs by solving corresponding fully nonlinear PDEs, and then approximate solutions for general quadratic GBSDEs in Banach spaces.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 128, Issue 11, November 2018, Pages 3724-3750
Journal: Stochastic Processes and their Applications - Volume 128, Issue 11, November 2018, Pages 3724-3750
نویسندگان
Ying Hu, Yiqing Lin, Abdoulaye Soumana Hima,