Infinite horizon quadratic backward stochastic differential equations driven by G-Brownian motion
Abstract
The present paper focuses on studying the well-posedness of infinite horizon backward stochastic differential equations driven by G-Brownian motion (G-BSDEs) with quadratic generators. To this end, we provide a full construction of explicit solutions of linear G-BSDEs with unbounded coefficients and develop the linearization method under the quadratic assumption. In addition, comparison theorems for both finite and infinite horizon G-BSDEs are established.
Fields of Study & Subjects
Stochastic processes and financial applications
Stochastic processes and statistical mechanics
Mathematical Biology Tumor Growth
Publication details
- Journal / source
- Electronic Journal of Probability
- Volume
- 31
- Issue
- none
- Pages
- 1–37
- Publication date
- 1 January 2026
- Language
- EN