G-BSDEs with time-varying monotonicity condition
Renxing Li, Xue Zhang
TL;DR
This paper investigates G-BSDEs driven by G-Brownian motion with a generator exhibiting time-varying monotonicity and Lipschitz conditions, establishing existence and uniqueness of solutions using Yosida approximation.
Contribution
It introduces a novel approach to handle G-BSDEs with time-varying monotonicity, extending previous results to more general conditions.
Findings
Proved existence of solutions under new conditions
Established uniqueness of solutions
Extended the theory of G-BSDEs with time-varying properties
Abstract
In this paper, we study backward stochastic differential equations driven by G-Brownian motion where the generator has time-varying monotonicity with respect to y and Lipsitz property with respect to z. Through the Yosida approximation, we have proved the existence and uniqueness of the solutions to these equations.
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Taxonomy
TopicsStochastic processes and financial applications · Risk and Portfolio Optimization · Nonlinear Differential Equations Analysis