Reflected solutions of backward stochastic differential equations driven by G-Brownian motion

被引：0
作者：
Hanwu Li
Shige Peng
Abdoulaye Soumana Hima
机构：
[1] Shandong University,School of Mathematics
[2] Shandong University,Zhongtai Institute of Finance
[3] Université de Rennes 1,Institut de Recherche Mathématiques de Rennes
[4] Université de Maradi,Département de Mathématiques
来源：
Science China Mathematics | 2018年 / 61卷
关键词：
-expectation; reflected backward stochastic differential equations; obstacle problems for fully nonlinear PDEs; 60H10; 60H30;
D O I：
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中图分类号：
学科分类号：
摘要：
In this paper, we study the reflected solutions of one-dimensional backward stochastic differential equations driven by G-Brownian motion. 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. We then give some applications including a generalized Feynman-Kac formula of an obstacle problem for fully nonlinear partial differential equation and option pricing of American types under volatility uncertainty.
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页码：1 / 26
页数：25
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