Backward Stochastic Differential Equations Driven by $\textit{G}$-Brownian Motion with Double Reflections

Hanwu Li and Yongsheng Song
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Hanwu Li: Center for Mathematical Economics, Bielefeld University
Yongsheng Song: Center for Mathematical Economics, Bielefeld University

No 717, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: In this paper, we study the reflected backward stochastic differential equations driven by $\textit{G}$- 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: $\textit{G}$-expectation; reflected backward SDE; approximate Skorohod condition (search for similar items in EconPapers)
Pages: 24
Date: 2025-07-09
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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:717

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