Reflected solutions of BSDEs driven by G-Brownian motion

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.

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Year of publication:	2017
Authors:	Li, Hanwu ; Peng, Shige ; Soumana Hima, Abdoulaye
Publisher:	Bielefeld : Bielefeld University, Center for Mathematical Economics (IMW)
Subject:	G-expectation \| G-BSDEs \| reflected G-BSDEs

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Series:	Center for Mathematical Economics Working Papers ; 590
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1029479801 [GVK] hdl:10419/201615 [Handle] RePEc:bie:wpaper:590 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10012042129