Reflected BSDE driven by G-Brownian motion with an upper obstacle
Probability
2017-09-29 v1
Abstract
In this paper, we study the reflected backward stochastic differential equation driven by G-Brownian motion (reflected 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
Cite
@article{arxiv.1709.09817,
title = {Reflected BSDE driven by G-Brownian motion with an upper obstacle},
author = {Hanwu Li and Shige Peng},
journal= {arXiv preprint arXiv:1709.09817},
year = {2017}
}