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Multi‐valued backward stochastic differential equations driven by G ‐Brownian motion and its applications
Author(s) -
Yang Fenfen,
Ren Yong,
Hu Lanying
Publication year - 2017
Publication title -
mathematical methods in the applied sciences
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.719
H-Index - 65
eISSN - 1099-1476
pISSN - 0170-4214
DOI - 10.1002/mma.4335
Subject(s) - mathematics , stochastic differential equation , brownian motion , motion (physics) , geometric brownian motion , mathematical analysis , differential equation , diffusion process , classical mechanics , statistics , computer science , knowledge management , physics , innovation diffusion
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.
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