Backward Stochastic Differential Equations Driven by G-Brownian Motion with Double Reflections
Probability
2019-12-13 v1
Abstract
In this paper, we study the reflected backward stochastic differential equations driven by 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
Cite
@article{arxiv.1912.05808,
title = {Backward Stochastic Differential Equations Driven by G-Brownian Motion with Double Reflections},
author = {Hanwu Li and Yongsheng Song},
journal= {arXiv preprint arXiv:1912.05808},
year = {2019}
}