On the Existence and Uniqueness of Solutions to Forward Backward Stochastic Differential Equations Driven by G-brownian Motion
by Kebiri Omar   Bouanani Hafida   Kandouci Abdeldjebbar  

Vol. 15 No. 3 (2020) P.217~P.236

DOI:	https://doi.org/10.21915/BIMAS.2020302
	10.21915/BIMAS.2020302

ABSTRACT

In this paper, we study the existence and the uniqueness of solution of coupled G-forward-backward stochastic differential equations (G-FBDSEs in short). Our systems are described by coupled multi-dimensional G-FBDSEs. We construct a mapping for which the fixed point is the solution of our G-FBSDE, where we prove that this mapping is a contraction. In this paper we do not require the monotonicity condition to prove the existence.

KEYWORDS
Contraction mapping, fully coupled forward backward stochastic differential equations, G-Brownian motion, G-expectation, multidimensional system

MATHEMATICAL SUBJECT CLASSIFICATION 2010
Primary: 60H05, 60H10

MILESTONES

Received: 2020-08-31
Revised : 2020-09-28
Accepted: 2020-09-28

Download Full Content