Lp Solutions of -Backward Stochastic Differential Equations with Continuous Coefficients

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Cumhuriyet Üniversitesi Fen-Edebiyat Fakültesi Fen Bilimleri Dergisi
Volume:36 Issue:3
Lp Solutions of -Backward Stochastic Differential Equations with Continuous Coefficients

Lp Solutions of -Backward Stochastic Differential Equations with Continuous Coefficients

Authors : Mojtaba MALEKI, Elham DASTRANJ, Reza HEJAZI

Pages : 2234-2241

View : 50 | Download : 17

Publication Date : 2015-05-13

Article Type : Review Paper

Abstract :Abstract. In this paper, we study -backward stochastic differential equations with continuous coefficients. We give existence and uniqueness results for G-backward stochastic differential equations, when the generator is uniformly continuous in , and the terminal value with . We consider the G-backward stochastic differential equations driven by a G-Brownian motion in the following form: (1) where and are unknown and the random function , called the generator, and the random variable , called terminal value, are given. Our main result of this paper is the existence and uniqueness of a solution for (1) in the G-framework.
Keywords : G expectation, G Brownian motion, G martingale, G Backward stochastic differential equations

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