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This analysis proves well-posedness for infinite horizon backward stochastic differential equations driven by G-brownian motion, highlighting quadratic generator dynamics.
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.
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Lin et al. (2025) studied this question.
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