Backward stochastic differential equations driven by G-Brownian motion with double reflections
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Publication:2664540
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.
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Cited in
(22)- Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
- Reflected backward stochastic differential equations driven by countable Brownian motions
- Reflected quadratic BSDEs driven by \(G\)-Brownian motions
- Forward-backward stochastic differential equations driven by \(G\)-Brownian motion
- Reflected forward-backward stochastic differential equations driven by \(G\)-Brownian motion with continuous monotone coefficients
- Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients in \((y, z)\)
- Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle
- A CLASS OF TWO-PARAMETER BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A BROWNIAN SHEET
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