Multi-dimensional Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion with Diagonal Generators

Hanwu Li () and Guomin Liu ()
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Hanwu Li: Shandong University
Guomin Liu: Nankai University

Journal of Theoretical Probability, 2024, vol. 37, issue 3, 2615-2645

Abstract: Abstract We consider the well-posedness problem of multi-dimensional reflected backward stochastic differential equations driven by G-Brownian motion (G-BSDEs) with diagonal generators. Two methods, including the penalization method and the Picard iteration argument, are provided to prove the existence and uniqueness of the solutions. We also study its connection with the obstacle problem of a system of fully nonlinear PDEs.

Keywords: G-Expectation; G-Brownian motion; Multi-dimensional BSDEs; Fully nonlinear PDEs; 60H10; 60H30 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10959-024-01334-4

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