Multi-valued backward stochastic differential equations driven by G-Brownian motion and its applications
2017
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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