Forward-backward stochastic differential equations driven by \(G\)-Brownian motion under weakly coupling condition

DOI10.1016/j.jmaa.2023.127274arXiv2211.15041OpenAlexW4362587730MaRDI QIDQ6097700

Xiaojuan Li

Publication date: 7 June 2023

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2211.15041

zbMATH Keywords

comparison theorembackward stochastic differential equation\(G\)-Brownian motion\(G\)-expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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