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

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