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

Hanwu Li () and Yongsheng Song ()
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Hanwu Li: Bielefeld University
Yongsheng Song: Chinese Academy of Sciences

Journal of Theoretical Probability, 2021, vol. 34, issue 4, 2285-2314

Abstract: Abstract 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.

Keywords: G-expectation; Reflected backward SDE; Approximate Skorohod condition; 60H10 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s10959-020-01038-5

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