- Cumhuriyet Üniversitesi Fen-Edebiyat Fakültesi Fen Bilimleri Dergisi
- Vol: 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 : 9 | Download : 5
Publication Date : 2015-05-13
Article Type : Review
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