Infinite horizon quadratic backward stochastic differential equations driven by $G$-Brownian motion
Yiqing Lin, Yifan Sun, Falei Wang
Published: 2025/9/6
Abstract
The aim is to prove 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 to linear $G$-BSDEs with unbounded coefficients and the linearization method under the quadratic assumption. In addition, the comparison theorems for both finite and infinite horizon $G$-BSDEs are established.