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Multi-valued backward stochastic differential equations driven by G-Brownian motion and its applications.

Authors :
Yang, Fenfen
Ren, Yong
Hu, Lanying
Source :
Mathematical Methods in the Applied Sciences; Sep2017, Vol. 40 Issue 13, p4696-4708, 13p
Publication Year :
2017

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. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
01704214
Volume :
40
Issue :
13
Database :
Complementary Index
Journal :
Mathematical Methods in the Applied Sciences
Publication Type :
Academic Journal
Accession number :
124129949
Full Text :
https://doi.org/10.1002/mma.4335