Forward-backward stochastic differential equations driven by \(G\)-Brownian motion
type: Item
instance of: scholarly article
title: Forward-backward stochastic differential equations driven by \(G\)-Brownian motion
zbMATH Open document ID: 1428.60080
author: Bing-jun Wang
author: Ming-xia Yuan
published in: Applied Mathematics and Computation
publication date: 2019-11-26T00:00:00Z
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60H20
zbMATH DE Number: 7136864
zbMATH Keywords: forward-backward equation
zbMATH Keywords: \(G\)-Brownian motion
zbMATH Keywords: monotone coefficients
MaRDI profile type: Publication
full work available at URL: j.amc.2018.12.031
OpenAlex ID: W2907047345
cites work: Existence of the solutions of backward-forward SDE's with continuous monotone coefficients
cites work: On the existence and uniqueness of solutions to stochastic differential equations driven by \(G\)-Brownian motion with integral-Lipschitz coefficients
cites work: Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
cites work: Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
cites work: \(N\)-person differential games governed by semilinear stochastic evolution systems
cites work: On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
cites work: Backward stochastic differential equations driven by \(G\)-Brownian motion
cites work: A stochastic recursive optimal control problem under the G-expectation framework
cites work: Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
cites work: Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion
cites work: Stochastic differential equations driven by \(G\)-Brownian motion and ordinary differential equations
cites work: Stochastic differential equations driven by \(G\)-Brownian motion with reflecting boundary conditions
cites work: Stopping times and related Itô's calculus with \(G\)-Brownian motion
cites work: Nonlinear expectations and nonlinear Markov chains
cites work: A complete representation theorem for G-martingales
cites work: Stochastic functional differential equations with infinite delay driven by \(G\)-Brownian motion
cites work: Martingale representation theorem for the \(G\)-expectation
cites work: Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
cites work: Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming
DOI: 10.1016/J.AMC.2018.12.031
Recommended article: Backward stochastic differential equations driven by \(G\)-Brownian motion
Recommended article: Forward-backward stochastic differential equations driven by \(G\)-Brownian motion under weakly coupling condition
Recommended article: Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators
Recommended article: Mean‐field backward stochastic differential equations driven by G‐Brownian motion and related partial differential equations
Recommended article: Q4988574
Recommended article: Q5198275
Recommended article: Stochastic differential equations driven by \(G\)-Brownian motion and ordinary differential equations
Recommended article: Reflected forward-backward stochastic differential equations driven by \(G\)-Brownian motion with continuous monotone coefficients
Recommended article: Backward stochastic differential equations driven by \(G\)-Brownian motion with double reflections
Recommended article: Stochastic differential equations with perturbations driven by \(G\)-Brownian motion
description: scientific article; zbMATH DE number 7136864