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In this paper, we prove the existence and uniqueness of a solution for a class of backward stochastic differential equations driven by G-Brownian motion with subdifferential operator by means of… Click to show full abstract
In this paper, we prove the existence and uniqueness of a solution for a class of backward stochastic differential equations driven by G-Brownian motion with subdifferential operator by means of the Moreau–Yosida approximation method. Moreover, we give a probabilistic interpretation for the viscosity solutions of a kind of nonlinear variational inequalities. Copyright © 2017 John Wiley & Sons, Ltd.
Keywords:
stochastic differential;
backward stochastic;
brownian motion;
equations driven;
differential equations;
driven brownian
Journal Title: Mathematical Methods in The Applied Sciences
Year Published: 2017
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Journal Title: Mathematical Methods in The Applied Sciences
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!