Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle

Hanwu Li and Shige Peng

Stochastic Processes and their Applications, 2020, vol. 130, issue 11, 6556-6579

Abstract: In this paper, we study the reflected backward stochastic differential equation driven by G-Brownian motion (reflected G-BSDE for short) with an upper obstacle. The existence is proved by approximation via penalization. By using a variant comparison theorem, we show that the solution we constructed is the largest one.

Keywords: G-expectation; Reflected backward SDEs; Upper obstacle (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:130:y:2020:i:11:p:6556-6579

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DOI: 10.1016/j.spa.2020.06.002

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