Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle

DOI10.1016/J.SPA.2020.06.002zbMath1454.60081arXiv1709.09817OpenAlexW3032972261WikidataQ115341132 ScholiaQ115341132MaRDI QIDQ2229553

Hanwu Li, Shige Peng

Publication date: 18 February 2021

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.09817

zbMATH Keywords

\(G\)-expectationreflected backward SDEsupper obstacle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Related Items (8)

Backward stochastic differential equations driven by \(G\)-Brownian motion with double reflections ⋮ Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space ⋮ Wellposedness of second order reflected BSDEs: A new formulation ⋮ Robust retirement and life insurance with inflation risk and model ambiguity ⋮ BSDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients ⋮ Corrigendum to: ``Second-order reflected backward stochastic differential equations and ``Second-order BSDEs with general reflection and game options under uncertainty ⋮ Multi-dimensional reflected backward stochastic differential equations driven by \(G\)-Brownian motion with diagonal generators ⋮ Doubly reflected backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients

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