Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections

Li H, Song Y (2020)
JOURNAL OF THEORETICAL PROBABILITY.

Zeitschriftenaufsatz | E-Veröff. vor dem Druck | Englisch
 
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Autor*in
Li, HanwuUniBi; Song, Yongsheng
Abstract / Bemerkung
In this paper, we study the reflected backward stochastic differential equations driven byG-Brownian motion with two reflecting obstacles, which means that the solution lies between two prescribed processes. A new kind ofapproximate Skorohod conditionis proposed to derive the uniqueness and existence of the solutions. The uniqueness can be proved by a priori estimates and the existence is obtained via a penalization method.
Stichworte
G-expectation; Reflected backward SDE; Approximate Skorohod condition
Erscheinungsjahr
2020
Zeitschriftentitel
JOURNAL OF THEORETICAL PROBABILITY
ISSN
0894-9840
eISSN
1572-9230
Page URI
https://pub.uni-bielefeld.de/record/2946502

Zitieren

Li H, Song Y. Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections. JOURNAL OF THEORETICAL PROBABILITY. 2020.
Li, H., & Song, Y. (2020). Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections. JOURNAL OF THEORETICAL PROBABILITY. doi:10.1007/s10959-020-01038-5
Li, H., and Song, Y. (2020). Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections. JOURNAL OF THEORETICAL PROBABILITY.
Li, H., & Song, Y., 2020. Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections. JOURNAL OF THEORETICAL PROBABILITY.
H. Li and Y. Song, “Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections”, JOURNAL OF THEORETICAL PROBABILITY, 2020.
Li, H., Song, Y.: Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections. JOURNAL OF THEORETICAL PROBABILITY. (2020).
Li, Hanwu, and Song, Yongsheng. “Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections”. JOURNAL OF THEORETICAL PROBABILITY (2020).

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