Reflected Solutions of BSDEs Driven by G-Brownian Motion

Hanwu Li; Shige Peng

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arXiv · 1705.10973

Reflected Solutions of BSDEs Driven by G-Brownian Motion

Hanwu Li·Shige Peng

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Abstract

In this paper, we study the reflected solutions of one-dimensional backward stochastic differential equations driven by G-Brownian motion (RGBSDE for short). The reflection keeps the solution above a given stochastic process. In order to derive the uniqueness of reflected GBSDEs, we apply a "martingale condition" instead of the Skorohod condition. Similar to the classical case, we prove the existence by approximation via penalization.

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Hanwu Li, Shige Peng. 2017-05-31. Reflected Solutions of BSDEs Driven by G-Brownian Motion. https://arxiv.org/abs/1705.10973

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