李邯武
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Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections
  • Affiliation of Author(s):
    比勒菲尔德大学
  • Journal:
    JOURNAL OF THEORETICAL PROBABILITY
  • Place of Publication:
    America
  • Key Words:
    G-expectation, Reflected backward SDE, Approximate Skorohod condition
  • Abstract:
    In this paper, we study the reflected backward stochastic differential equations driven byG-Brownian motion with two reflecting obstacles, which means that the solution lies between two prescribed processes. A new kind ofapproximate Skorohod conditionis 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.
  • All the Authors:
    Yongsheng Song
  • First Author:
    Hanwu Li,
  • Correspondence Author:
    Hanwu Li
  • Discipline:
    mathematics
  • Volume:
    34
  • Issue:
    4
  • Page Number:
    2285-2314
  • ISSN No.:
    0894-9840
  • Translation or Not:
    no
  • Date of Publication:
    4407-05-01
  • Included Journals:
    SCI

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