Falei Wang, Guoqiang Zheng
Published 2018-06-06Version 1
The present paper is devoted to investigating the existence and uniqueness of solutions to a class of non-Lipschitz scalar valued backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs). In fact, when the generators are Lipschitz continuous in $y$ and uniformly continuous in $z$, we construct the unique solution to such equations by monotone convergence argument. The comparison theorem and related Feynman-Kac formula are stated as well.
Backward stochastic differential equations under super linear G-expectation and associated Hamilton-Jacobi-Bellman equations
Martingale representations for diffusion processes and backward stochastic differential equations
A regression-based Monte Carlo method to solve backward stochastic differential equations
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