Solutions of BSDEs with a kind of non-Lipschitz coefficients driven by G-Brownian motion

被引：2

作者：

Zhang, Wei ^{[1
,2
]}

Jiang, Long ^{[1
]}

机构：

[1] China Univ Min & Technol, Sch Math, Xuzhou 221116, Jiangsu, Peoples R China

[2] China Univ Min & Technol, Xuhai Coll, Xuzhou 221008, Jiangsu, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2021年 / 171卷

关键词：

G-Brownian motion; Non-Lipschitz conditions; Picard iteration; STOCHASTIC DIFFERENTIAL-EQUATIONS; TIME-INTERVAL BSDES; G-EXPECTATION; UNIQUENESS; EXISTENCE; CALCULUS; THEOREM; FINITE;

D O I：

10.1016/j.spl.2020.109024

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we study the following backward stochastic differential equations driven by G-Brownian motion (G-BSDEs in short) Y-t = xi + integral(T)(t) f (s, Y-s, Z(s))ds + integral(T)(t) g(s, Y-s, Z(s))d < B >(s) - integral(T)(t) Z(s)dB(s) - (K-T - K-t) with a kind of non-Lipschitz coefficients. An existence and uniqueness theorem is established. (C) 2020 Elsevier B.V. All rights reserved.

引用

页数：10

共 24 条

[1] On the Existence and Uniqueness of Solutions to Stochastic Differential Equations Driven by G-Brownian Motion with Integral-Lipschitz Coefficients [J].

Bai, Xue-peng ;

Lin, Yi-qing .

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2014, 30 (03) :589-610

[2] Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths [J].

Denis, Laurent ;

Hu, Mingshang ;

Peng, Shige .

POTENTIAL ANALYSIS, 2011, 34 (02) :139-161

[3] Lp solutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients [J].

Fan, Sheng Jun ;

Jiang, Long .

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2012, 84 (04) :487-506

[4] Existence and uniqueness result for multidimensional BSDEs with generators of Osgood type [J].

Fan, Shengjun ;

Jiang, Long ;

Davison, Matt .

FRONTIERS OF MATHEMATICS IN CHINA, 2013, 8 (04) :811-824

[5] Finite and infinite time interval BSDEs with non-Lipschitz coefficients [J].

Fan, ShengJun ;

Jiang, Long .

STATISTICS & PROBABILITY LETTERS, 2010, 80 (11-12) :962-968

[6] Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion [J].

Gao, Fuqing .

STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2009, 119 (10) :3356-3382

[7] On Representation Theorem of G-Expectations and Paths of G-Brownian Motion [J].

Hu, Ming-shang ;

Peng, Shi-ge .

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2009, 25 (03) :539-546

[8] Quasi-continuous random variables and processes under the G-expectation framework [J].

Hu, Mingshang ;

Wang, Falei ;

Zheng, Guoqiang .

STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2016, 126 (08) :2367-2387

[9] Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion [J].

Hu, Mingshang ;

Ji, Shaolin ;

Peng, Shige ;

Song, Yongsheng .

STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2014, 124 (02) :1170-1195

[10] Backward stochastic differential equations driven by G-Brownian motion [J].

Hu, Mingshang ;

Ji, Shaolin ;

Peng, Shige ;

Song, Yongsheng .

STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2014, 124 (01) :759-784

← 1 2 3 →