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

Li, Hanwu; Song, Yongsheng

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

Download

s10959-020-01038-5.pdf 444.17 KB

DOI

https://doi.org/10.1007/s10959-020-01038-5

URN

urn:nbn:de:0070-pub-29465024

Autor*in

Li, Hanwu^UniBi; Song, Yongsheng

Einrichtung

Institut für mathematische Wirtschaftsforschung

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

Seite(n)

2285–2314

Urheberrecht / Lizenzen

Creative Commons Namensnennung 4.0 International Public License (CC-BY 4.0)

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.

Alle Dateien verfügbar unter der/den folgenden Lizenz(en):

Creative Commons Namensnennung 4.0 International Public License (CC-BY 4.0):