Arbeitspapier
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Center for Mathematical Economics Working Papers ; No. 590
- Klassifikation
-
Wirtschaft
- Thema
-
G-expectation
G-BSDEs
reflected G-BSDEs
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Li, Hanwu
Peng, Shige
Soumana Hima, Abdoulaye
- Ereignis
-
Veröffentlichung
- (wer)
-
Bielefeld University, Center for Mathematical Economics (IMW)
- (wo)
-
Bielefeld
- (wann)
-
2017
- Handle
- URN
-
urn:nbn:de:0070-pub-29304283
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Li, Hanwu
- Peng, Shige
- Soumana Hima, Abdoulaye
- Bielefeld University, Center for Mathematical Economics (IMW)
Entstanden
- 2017
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