Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle
Li H, Peng S (2020)
Stochastic Processes and their Applications 130(11): 6556-6579.
Zeitschriftenaufsatz
| Veröffentlicht | Englisch
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Autor*in
Li, HanwuUniBi;
Peng, Shige
Einrichtung
Abstract / Bemerkung
In this paper, we study the reflected backward stochastic differential equation driven by G-Brownian motion (reflected G-BSDE for short) with an upper obstacle. The existence is proved by approximation via penalization. By using a variant comparison theorem, we show that the solution we constructed is the largest one. (C) 2020 Published by Elsevier B.V.
Stichworte
G-expectation;
Reflected backward SDEs;
Upper obstacle
Erscheinungsjahr
2020
Zeitschriftentitel
Stochastic Processes and their Applications
Band
130
Ausgabe
11
Seite(n)
6556-6579
ISSN
0304-4149
eISSN
1879-209X
Page URI
https://pub.uni-bielefeld.de/record/2948628
Zitieren
Li H, Peng S. Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle. Stochastic Processes and their Applications. 2020;130(11):6556-6579.
Li, H., & Peng, S. (2020). Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle. Stochastic Processes and their Applications, 130(11), 6556-6579. doi:10.1016/j.spa.2020.06.002
Li, Hanwu, and Peng, Shige. 2020. “Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle”. Stochastic Processes and their Applications 130 (11): 6556-6579.
Li, H., and Peng, S. (2020). Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle. Stochastic Processes and their Applications 130, 6556-6579.
Li, H., & Peng, S., 2020. Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle. Stochastic Processes and their Applications, 130(11), p 6556-6579.
H. Li and S. Peng, “Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle”, Stochastic Processes and their Applications, vol. 130, 2020, pp. 6556-6579.
Li, H., Peng, S.: Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle. Stochastic Processes and their Applications. 130, 6556-6579 (2020).
Li, Hanwu, and Peng, Shige. “Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle”. Stochastic Processes and their Applications 130.11 (2020): 6556-6579.
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