BSDEs driven by $G$-Brownian motion with uniformly continuous generators

Falei Wang; Guoqiang Zheng

doi:10.1007/s10959-020-00998-y

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arXiv · 1806.02265

BSDEs driven by $G$-Brownian motion with uniformly continuous generators

Falei Wang·Guoqiang Zheng

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Abstract

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 ($G$-BSDEs). In fact, when the generators are Lipschitz continuous in $y$ and uniformly continuous in $z$, we construct the unique solution to such equations by monotone convergence argument. The comparison theorem and related Feynman-Kac formula are stated as well.

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BibTeX RIS

Falei Wang, Guoqiang Zheng. 2018-06-06. BSDEs driven by $G$-Brownian motion with uniformly continuous generators. https://doi.org/10.1007/s10959-020-00998-y

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