Forward-backward stochastic differential equations driven by G-Brownian motion under weakly coupling condition
| Autor: | Li, Xiaojuan |
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| Rok vydání: | 2022 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | In this paper, we obtain the existence and uniqueness theorem of $L^{p}$-solution for coupled forward-backward stochastic differential equations driven by G-Brownian motion (G-FBSDEs) with arbitrary $T$ under weakly coupling condition. Specially, the result for $p\in(1,2)$ is completely different from the one for $p\geq2$. Furthermore, by considering the dual linear FBSDE under a suitable reference probability, we establish the comparison theorem for G-FBSDEs under weakly coupling condition. Comment: 19 pages |
| Databáze: | arXiv |
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