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Forward-backward stochastic differential equations driven by G-Brownian motion

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  • Wang, Bingjun
  • Yuan, Mingxia

Abstract

In this paper, we study the solution of coupled forward-backward stochastic differential equation driven by G-Brownian motion with monotone coefficients. Besides, we prove that the solution is the minimal one.

Suggested Citation

  • Wang, Bingjun & Yuan, Mingxia, 2019. "Forward-backward stochastic differential equations driven by G-Brownian motion," Applied Mathematics and Computation, Elsevier, vol. 349(C), pages 39-47.
    • Handle: RePEc:eee:apmaco:v:349:y:2019:i:c:p:39-47
    DOI: 10.1016/j.amc.2018.12.031
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    References listed on IDEAS

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    1. Hu, Mingshang & Ji, Shaolin & Peng, Shige & Song, Yongsheng, 2014. "Backward stochastic differential equations driven by G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 759-784.
    2. Gao, Fuqing, 2009. "Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3356-3382, October.
    3. Soner, H. Mete & Touzi, Nizar & Zhang, Jianfeng, 2011. "Martingale representation theorem for the G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 121(2), pages 265-287, February.
    4. Li, Xinpeng & Peng, Shige, 2011. "Stopping times and related Itô's calculus with G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1492-1508, July.
    5. R. Sakthivel & P. Revathi & N. I. Mahmudov, 2013. "Asymptotic Stability of Fractional Stochastic Neutral Differential Equations with Infinite Delays," Abstract and Applied Analysis, Hindawi, vol. 2013, pages 1-9, February.
    6. Hu, Mingshang & Ji, Shaolin, 2017. "Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 127(1), pages 107-134.
    7. Hu, Mingshang & Ji, Shaolin & Peng, Shige & Song, Yongsheng, 2014. "Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 124(2), pages 1170-1195.
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    Cited by:

    1. Hafida Bouanani & Omar Kebiri & Carsten Hartmann & Amel Redjil, 2024. "Optimal Relaxed Control for a Decoupled G-FBSDE," Journal of Optimization Theory and Applications, Springer, vol. 202(3), pages 1027-1059, September.

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