most citedBackward stochastic differential equations under super linear G-expectation and associated Hamilton-Jacobi-Bellman equations

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math.PR2010★ 3 cited

Backward stochastic differential equations under super linear G-expectation and associated Hamilton-Jacobi-Bellman equations

Yuhong Xu

This paper first studies super linear G-expectation. Uniqueness and existence theorem for backward stochastic differential equations (BSDEs) under super linear expectation is estab…