Reflected BSDEs driven by G-Brownian motion with non-Lipschitz coefficients
Probability
2022-12-26 v1
Abstract
In this paper, we consider the reflected backward stochastic differential equations driven by G-Brownian motion (reflected G-BSDEs) whose coefficients satisfy the beta-order Mao's condition. The uniqueness is obtained by some a priori estimates and the existence can be proved by two different methods. The first one is Picard iteration and the second one is approximation via penalization. The latter construction is useful to get the comparison theorem.
Keywords
Cite
@article{arxiv.2212.12108,
title = {Reflected BSDEs driven by G-Brownian motion with non-Lipschitz coefficients},
author = {Hanwu Li},
journal= {arXiv preprint arXiv:2212.12108},
year = {2022}
}