Backward Stochastic Differential Equations Driven by G-Brownian Motion with Double Reflections

被引：0
作者：
Hanwu Li
Yongsheng Song
机构：
[1] Bielefeld University,Center for Mathematical Economics (IMW)
[2] Chinese Academy of Sciences,RCSDS, Academy of Mathematics and Systems Science
[3] University of Chinese Academy of Sciences,School of Mathematical Sciences
来源：
Journal of Theoretical Probability | 2021年 / 34卷
关键词：
-expectation; Reflected backward SDE; Approximate Skorohod condition; 60H10;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we study the reflected backward stochastic differential equations driven by G-Brownian motion with two reflecting obstacles, which means that the solution lies between two prescribed processes. A new kind of approximate Skorohod condition is 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.
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页码：2285 / 2314
页数：29
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