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Multi-dimensional G-Backward Stochastic Differential Equations with Random Horizon

Author

Listed:
  • Yiqing Lin

    (Shanghai Jiao Tong University)

  • Guomin Liu

    (Nankai University)

  • Yue Niu

    (Shandong University)

  • Falei Wang

    (Shandong University)

Abstract

The paper investigates the multi-dimensional backward stochastic differential equations driven by G-Brownian motions (G-BSDEs) with random horizon. We first study the one-dimensional case with the help of the linearization method and quasi-continuous stopping times theory. Based on this, we establish the well-posedness result of the multi-dimensional case with diagonal generators through the Picard iteration argument under a univariate monotonicity assumption. In addition, the comparison principle and stability property are also discussed.

Suggested Citation

  • Yiqing Lin & Guomin Liu & Yue Niu & Falei Wang, 2025. "Multi-dimensional G-Backward Stochastic Differential Equations with Random Horizon," Journal of Theoretical Probability, Springer, vol. 38(4), pages 1-31, December.
    • Handle: RePEc:spr:jotpro:v:38:y:2025:i:4:d:10.1007_s10959-025-01453-6
    DOI: 10.1007/s10959-025-01453-6
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