Backward Stochastic Differential Equations Driven by G-Brownian Motion with Uniformly Continuous Generators

被引：0
作者：
Falei Wang
Guoqiang Zheng
机构：
[1] Shandong University,Zhongtai Securities Institute for Financial Studies
[2] Southeast University,Department of Mathematics
来源：
Journal of Theoretical Probability | 2021年 / 34卷
关键词：
BSDE; -Brownian motion; Uniformly continuous generators; 60H10; 60H30;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The present paper is devoted to investigating the existence and uniqueness of solutions to a class of non-Lipschitz scalar-valued backward stochastic differential equations driven by G-Brownian motion. In fact, when the generators are Lipschitz continuous in y and uniformly continuous in z, we construct the unique solution to such equations by a linearization technique and a monotone convergence argument. The comparison theorem and related nonlinear Feynman–Kac formula are stated as well.
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页码：660 / 681
页数：21
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