Multi-dimensional BSDEs driven by $G$-Brownian motion and related system of fully nonlinear PDEs

Guomin Liu

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arXiv · 1811.07773

Multi-dimensional BSDEs driven by $G$-Brownian motion and related system of fully nonlinear PDEs

Guomin Liu

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Abstract

In this paper, we study the well-posedness of multi-dimensional backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs) with diagonal generators, the $z$ parts of whose $l$-th components only depend on the $l$-th columns. The existence and uniqueness of solutions are obtained via a contraction argument for $Y$ component and a backward iteration of local solutions. Furthermore, we show that, the solution of multi-dimensional $G$-BSDE in a Markovian framework provides a probabilistic formula for the viscosity solution of a system of nonlinear parabolic partial differential equations.

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Guomin Liu. 2018-11-19. Multi-dimensional BSDEs driven by $G$-Brownian motion and related system of fully nonlinear PDEs. https://arxiv.org/abs/1811.07773

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