Forward-backward stochastic differential equations driven by G-Brownian motion

Huan Lu; Yongsheng Song

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arXiv · 2104.06868

Forward-backward stochastic differential equations driven by G-Brownian motion

Huan Lu·Yongsheng Song

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Abstract

In this paper, we study the existence and uniqueness of solutions to the fully coupled nonlinear forward-backward stochastic differential equations driven by G-Brownian motion. Assuming that the diffusion coefficient $\sigma$ is uniformly elliptic and all coefficients are differentiable, combining the results of fully nonlinear PDEs, we prove the existence and uniqueness of solutions to these equations.

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Huan Lu, Yongsheng Song. 2021-04-14. Forward-backward stochastic differential equations driven by G-Brownian motion. https://arxiv.org/abs/2104.06868

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