李邯武
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Reflected solutions of backward stochastic differential equations driven by G-Brownian motion
  • Affiliation of Author(s):
    山东大学
  • Journal:
    SCIENCE CHINA-MATHEMATICS
  • Place of Publication:
    China
  • Key Words:
    G-expectation, reflected backward stochastic differential equations, obstacle problems for fully nonlinear PDEs
  • Abstract:
    In this paper, we study the reflected solutions of one-dimensional backward stochastic differential equations driven by G-Brownian motion. The reflection keeps the solution above a given stochastic process. In order to derive the uniqueness of reflected G-BSDEs, we apply a "martingale condition" instead of the Skorohod condition. Similar to the classical case, we prove the existence by approximation via penalization. We then give some applications including a generalized Feynman-Kac formula of an obstacle problem for fully nonlinear partial differential equation and option pricing of American types under volatility uncertainty.
  • All the Authors:
    Abdoulaye Soumana Hima
  • First Author:
    Hanwu Li
  • Correspondence Author:
    Shige Peng
  • Discipline:
    mathematics
  • Volume:
    61
  • Issue:
    1
  • Page Number:
    1-26
  • ISSN No.:
    1674-7283
  • Translation or Not:
    no
  • Date of Publication:
    4310-01-01

Pre One:Supermartingale decomposition theorem under G-expectation

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