Doubly Reflected Backward SDEs Driven by G-Brownian Motions and Fully Nonlinear PDEs with Double Obstacles

Abstract: In this paper, we study the doubly reflected backward stochastic differential equations driven by G-Brownian motion. We show that the solution can be constructed by a family of penalized reflected G-BSDEs with a lower obstacle. The advantage of this construction is that the convergence sequence is monotone, which is helpful to establish the relation between doubly reflected G-BSDEs and double obstacle fully nonlinear partial differential equations.

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