Reflected solutions of BSDEs driven by G-Brownian motion

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Center for Mathematical Economics Working Papers ; No. 590

Classification and Topics

• Classification: Wirtschaft
• Subject: G-expectation ; G-BSDEs ; reflected G-BSDEs

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Li, Hanwu ; Peng, Shige ; Soumana Hima, Abdoulaye
• Event: Veröffentlichung
• (who): Bielefeld University, Center for Mathematical Economics (IMW)
• (where): Bielefeld
• (when): 2017

Further information

• Handle: http://hdl.handle.net/10419/201615
• URN: urn:nbn:de:0070-pub-29304283
• Last update: 10.03.2025, 11:44 AM CET