Special Session 133: New developments on nonlinear expectations
Quadratic forward backward stochastic differential equations driven by G-Brownian motion
Peng Luo
Shanghai Jiao Tong University Peoples Rep of China
Co-Author(s):
Abstract:
We consider quadratic forward backward stochastic differential equations driven by G-Brownian motion. Based on the theory of G-BMO martingale and G-Girsanov theorem, we establish the existence and uniqueness of solution on small time duration. We further provide some extensions.