Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections
Li H, Song Y (2020)
JOURNAL OF THEORETICAL PROBABILITY 34: 2285–2314.
Zeitschriftenaufsatz
| E-Veröff. vor dem Druck | Englisch
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Autor*in
Li, HanwuUniBi;
Song, Yongsheng
Einrichtung
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
Band
34
Seite(n)
2285–2314
Urheberrecht / Lizenzen
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;34:2285–2314.
Li, H., & Song, Y. (2020). Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections. JOURNAL OF THEORETICAL PROBABILITY, 34, 2285–2314. https://doi.org/10.1007/s10959-020-01038-5
Li, Hanwu, and Song, Yongsheng. 2020. “Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections”. JOURNAL OF THEORETICAL PROBABILITY 34: 2285–2314.
Li, H., and Song, Y. (2020). Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections. JOURNAL OF THEORETICAL PROBABILITY 34, 2285–2314.
Li, H., & Song, Y., 2020. Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections. JOURNAL OF THEORETICAL PROBABILITY, 34, p 2285–2314.
H. Li and Y. Song, “Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections”, JOURNAL OF THEORETICAL PROBABILITY, vol. 34, 2020, pp. 2285–2314.
Li, H., Song, Y.: Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections. JOURNAL OF THEORETICAL PROBABILITY. 34, 2285–2314 (2020).
Li, Hanwu, and Song, Yongsheng. “Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections”. JOURNAL OF THEORETICAL PROBABILITY 34 (2020): 2285–2314.
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2024-01-30T14:55:16Z
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