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

DOI10.1080/17442508.2019.1650042zbMath1490.60170arXiv1811.07773OpenAlexW2967033085WikidataQ114098095 ScholiaQ114098095MaRDI QIDQ5086509

Guomin Liu

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.07773

zbMATH Keywords

fully nonlinear PDEs\(G\)-Brownian motion\(G\)-expectationmulti-dimensional BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dependence of solutions to PDEs on initial and/or boundary data and/or on parameters of PDEs (35B30) PDEs with randomness, stochastic partial differential equations (35R60) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Related Items (5)

BSDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients ⋮ Infinite horizon BSDEs under consistent nonlinear expectations ⋮ Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions ⋮ Mean-field backward stochastic differential equations driven by G-Brownian motion with uniformly continuous coefficients ⋮ Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients in \((y, z)\)

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