Reflected Solutions of BSDEs Driven by $\textit{G}$-Brownian Motion

Li H, Peng S, Soumana Hima A (2017) Center for Mathematical Economics Working Papers; 590.
Bielefeld: Center for Mathematical Economics.

Diskussionspapier | Veröffentlicht | Englisch
 
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Abstract / Bemerkung
In this paper, we study the reflected solutions of one-dimensional backward stochastic differential equations driven by *G*-Brownian motion (RGBSDE for short). The reflection keeps the solution above a given stochastic process. In order to derive the uniqueness of reflected *G*-BSDEs, we apply a \martingale condition" instead of the Skorohod condition. Similar to the classical case, we prove the existence by approximation via penalization.
Stichworte
$\textit{G}$-expectation; $\textit{G}$-BSDEs; reflected $\textit{G}$-BSDEs
Erscheinungsjahr
2017
Band
590
Seite(n)
32
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2930428

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Li H, Peng S, Soumana Hima A. Reflected Solutions of BSDEs Driven by $\textit{G}$-Brownian Motion. Center for Mathematical Economics Working Papers. Vol 590. Bielefeld: Center for Mathematical Economics; 2017.
Li, H., Peng, S., & Soumana Hima, A. (2017). Reflected Solutions of BSDEs Driven by $\textit{G}$-Brownian Motion (Center for Mathematical Economics Working Papers, 590). Bielefeld: Center for Mathematical Economics.
Li, H., Peng, S., and Soumana Hima, A. (2017). Reflected Solutions of BSDEs Driven by $\textit{G}$-Brownian Motion. Center for Mathematical Economics Working Papers, 590, Bielefeld: Center for Mathematical Economics.
Li, H., Peng, S., & Soumana Hima, A., 2017. Reflected Solutions of BSDEs Driven by $\textit{G}$-Brownian Motion, Center for Mathematical Economics Working Papers, no.590, Bielefeld: Center for Mathematical Economics.
H. Li, S. Peng, and A. Soumana Hima, Reflected Solutions of BSDEs Driven by $\textit{G}$-Brownian Motion, Center for Mathematical Economics Working Papers, vol. 590, Bielefeld: Center for Mathematical Economics, 2017.
Li, H., Peng, S., Soumana Hima, A.: Reflected Solutions of BSDEs Driven by $\textit{G}$-Brownian Motion. Center for Mathematical Economics Working Papers, 590. Center for Mathematical Economics, Bielefeld (2017).
Li, Hanwu, Peng, Shige, and Soumana Hima, Abdoulaye. Reflected Solutions of BSDEs Driven by $\textit{G}$-Brownian Motion. Bielefeld: Center for Mathematical Economics, 2017. Center for Mathematical Economics Working Papers. 590.
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2019-09-06T09:19:00Z
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