Reflected Solutions of BSDEs Driven by $\textit{G}$-Brownian Motion

Hanwu Li, Shige Peng and Abdoulaye Soumana Hima
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Hanwu Li: Center for Mathematical Economics, Bielefeld University
Shige Peng: Center for Mathematical Economics, Bielefeld University
Abdoulaye Soumana Hima: Center for Mathematical Economics, Bielefeld University

No 590, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: 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.

Keywords: $\textit{G}$-expectation; $\textit{G}$-BSDEs; reflected $\textit{G}$-BSDEs (search for similar items in EconPapers)
Pages: 32
Date: 2018-08-15
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https://pub.uni-bielefeld.de/download/2930428/2930429 First Version, 2017 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:590

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