李邯武
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Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle
  • Affiliation of Author(s):
    比勒菲尔德大学，山东大学
  • Journal:
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS
  • Place of Publication:
    Netherlands
  • Key Words:
    G-expectation, Reflected backward SDEs, Upper obstacle
  • Abstract:
    In this paper, we study the reflected backward stochastic differential equation driven by G-Brownian motion (reflected G-BSDE for short) with an upper obstacle. The existence is proved by approximation via penalization. By using a variant comparison theorem, we show that the solution we constructed is the largest one.
  • All the Authors:
    Shige Peng
  • First Author:
    Hanwu Li,
  • Correspondence Author:
    Hanwu Li
  • Discipline:
    mathematics
  • Volume:
    130
  • Issue:
    11
  • Page Number:
    6556-6579
  • ISSN No.:
    0304-4149
  • Translation or Not:
    no
  • Date of Publication:
    4413-06-01

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