Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527254 | Stochastic Processes and their Applications | 2014 | 28 Pages |
Abstract
In this paper, we study the backward stochastic differential equations driven by a G-Brownian motion (Bt)tâ¥0 in the following form: Yt=ξ+â«tTf(s,Ys,Zs)ds+â«tTg(s,Ys,Zs)dãBãsââ«tTZsdBsâ(KTâKt), where K is a decreasing G-martingale. Under Lipschitz conditions of f and g in Y and Z, the existence and uniqueness of the solution (Y,Z,K) of the above BSDE in the G-framework is proved.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Mingshang Hu, Shaolin Ji, Shige Peng, Yongsheng Song,