Reflected backward stochastic differential equation driven by $\textit{G}$-Brownian motion with an upper obstacle

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

No 715, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: In this paper, we study the reflected backward stochastic differential equation driven by $\textit{G}$- Brownian motion (reflected $\textit{G}$-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: $\textit{G}$-expectation; reflected backward SDEs; upper obstacle (search for similar items in EconPapers)
Pages: 25
Date: 2025-07-03
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