Forward-backward stochastic differential equations driven by G-Brownian motion under weakly coupling condition
Abstract
In this paper, we obtain the existence and uniqueness theorem of Lp-solution for coupled forward-backward stochastic differential equations driven by G-Brownian motion (G-FBSDEs) with arbitrary T under weakly coupling condition. Specially, the result for p∈(1,2) is completely different from the one for p≥2. Furthermore, by considering the dual linear FBSDE under a suitable reference probability, we establish the comparison theorem for G-FBSDEs under weakly coupling condition.
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