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

Abstract

In this paper, we study the existence and uniqueness of solutions to the fully coupled nonlinear forward-backward stochastic differential equations driven by G-Brownian motion. Assuming that the diffusion coefficient $\sigma$ is uniformly elliptic and all coefficients are differentiable, combining the results of fully nonlinear PDEs, we prove the existence and uniqueness of solutions to these equations.

References in corpus (1)

• G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty