G-BSDEs with time-varying monotonicity condition
Abstract
In this paper, we study backward stochastic differential equations driven by G-Brownian motion where the generator has time-varying monotonicity with respect to y and Lipsitz property with respect to z. Through the Yosida approximation, we have proved the existence and uniqueness of the solutions to these equations.
Fields of Study & Subjects
Stochastic processes and financial applications
Risk and Portfolio Optimization
Nonlinear Differential Equations Analysis
Publication details
- Journal / source
- arXiv (Cornell University)
- Publication date
- 6 January 2026
- Document type
- Preprint