李邯武
研究员
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论文成果
Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections
  • 所属单位:
    比勒菲尔德大学
  • 发表刊物:
    JOURNAL OF THEORETICAL PROBABILITY
  • 刊物所在地:
    America
  • 关键字:
    G-expectation, Reflected backward SDE, Approximate Skorohod condition
  • 摘要:
    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.
  • 全部作者:
    Yongsheng Song
  • 第一作者:
    Hanwu Li,
  • 通讯作者:
    Hanwu Li
  • 学科门类:
    mathematics
  • 卷号:
    34
  • 期号:
    4
  • 页面范围:
    2285-2314
  • ISSN号:
    0894-9840
  • 是否译文:
  • 发表时间:
    4407-05-01
  • 收录刊物:
    SCI
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