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Solutions of BSDEs with a kind of non-Lipschitz coefficients driven by G-Brownian motion

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  • Zhang, Wei
  • Jiang, Long

Abstract

In this paper, we study the following backward stochastic differential equations driven by G-Brownian motion (G-BSDEs in short) Yt=ξ+∫tTf(s,Ys,Zs)ds+∫tTg(s,Ys,Zs)d〈B〉s−∫tTZsdBs−(KT−Kt)with a kind of non-Lipschitz coefficients. An existence and uniqueness theorem is established.

Suggested Citation

  • Zhang, Wei & Jiang, Long, 2021. "Solutions of BSDEs with a kind of non-Lipschitz coefficients driven by G-Brownian motion," Statistics & Probability Letters, Elsevier, vol. 171(C).
    • Handle: RePEc:eee:stapro:v:171:y:2021:i:c:s0167715220303278
    DOI: 10.1016/j.spl.2020.109024
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    References listed on IDEAS

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