Multi‐valued backward stochastic differential equations driven by G‐Brownian motion and its applications |
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| Authors: | Fenfen Yang Yong Ren Lanying Hu |
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| Institution: | Department of Mathematics, Anhui Normal University, Wuhu, China |
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| 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. |
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| Keywords: | backward stochastic differential equation G‐Brownian motion subdifferential operator viscosity solution variational inequality |
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