Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion Under Monotonicity Condition

Bingjun Wang (), Hongjun Gao (), Mingxia Yuan () and Qingkun Xiao ()
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Bingjun Wang: Jinling Institute of Technology
Hongjun Gao: Southeast University
Mingxia Yuan: Nanjing Vocational Institute of Transport Technology
Qingkun Xiao: Nanjing Agricultural University

Journal of Theoretical Probability, 2024, vol. 37, issue 2, 1902-1926

Abstract: Abstract In this paper, we construct an approximation sequence by a smoothing method for continuous functions; then, we prove that there exists a unique solution to reflected backward stochastic differential equations driven by G-Brownian motion when the coefficients do not satisfy the Lipschitz condition. Moreover, we prove a comparison theorem.

Keywords: Reflected equation; G-Brownian motion; Continuous coefficient; Monotonicity condition; 60H05; 60H10; 60H20 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10959-023-01279-0

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