{"ID":2878430,"CreatedAt":"2026-06-01T04:54:23.091178241Z","UpdatedAt":"2026-06-01T04:54:23.091178241Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2508.17731","arxiv_id":"2508.17731","title":"G-BSDEs with non-Lipschitz coefficients and the corresponding stochastic recursive optimal control problem","abstract":"In this paper, we study the existence and uniqueness of solutions to a class of non-Lipschitz G-BSDEs and the corresponding stochastic recursive optimal control problem. More precisely, we suppose that the generator of G-BSDE is uniformly continuous and monotonic with respect to the first unknown variable. Using the comparison theorem for G-BSDE and the stability of viscosity solutions, we establish the dynamic programming principle and the connection between the value function and the viscosity solution of the associated Hamilton-Jacobi-Bellman equation.We provide an example of continuous time Epstein-Zin utility to demonstrate the application of our study.","short_abstract":"In this paper, we study the existence and uniqueness of solutions to a class of non-Lipschitz G-BSDEs and the corresponding stochastic recursive optimal control problem. More precisely, we suppose that the generator of G-BSDE is uniformly continuous and monotonic with respect to the first unknown variable. Using the co...","url_abs":"https://arxiv.org/abs/2508.17731","url_pdf":"https://arxiv.org/pdf/2508.17731v4","authors":"[\"Wei He\",\"Qiangjun Tang\"]","published":"2025-08-25T07:19:39Z","proceeding":"math.OC","tasks":"[\"math.OC\",\"math.PR\"]","methods":"[\"Large Language Model\"]","has_code":false}