Reflected solutions of BSDEs driven by G-Brownian motion

Hanwu Li, Shige Peng and Abdoulaye Soumana Hima

In this paper, we study the reflected solutions of one-dimensional backward stochastic differential equations driven by G-Brownian motion (RGBSDE for short). The reflection keeps the solution above a given stochastic process. In order to derive the uniqueness of reflected G-BSDEs, we apply a "martingale condition" instead of the Skorohod condition. Similar to the classical case, we prove the existence by approximation via penalization.

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Year of publication:	2017
Authors:	Li, Hanwu ; Peng, Shige ; Soumana Hima, Abdoulaye
Publisher:	Bielefeld, Germany : Center for Mathematical Economics (IMW), Bielefeld University
Subject:	G-expectation \| G-BSDEs \| reflected G-BSDEs

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Extent:	1 Online-Ressource (circa 32 Seiten)
Series:	Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW). - Bielefeld : IMW, ISSN 2942-9536, ZDB-ID 2437810-0. - Vol. 590 (September 2017)
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/201615 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011891947