The paper establishes existence and uniqueness for non-Lipschitz G-BSDEs under uniform continuity and monotonicity, then derives the dynamic programming principle and HJB viscosity solution connection for the corresponding stochastic recursive optimal control problem.
Probability Theory and Stochastic Modelling 95, Springer (2019)
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G-BSDEs with non-Lipschitz coefficients and the corresponding stochastic recursive optimal control problem
The paper establishes existence and uniqueness for non-Lipschitz G-BSDEs under uniform continuity and monotonicity, then derives the dynamic programming principle and HJB viscosity solution connection for the corresponding stochastic recursive optimal control problem.