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Reflected Solutions of BSDEs Driven by $\textit{G}$-Brownian Motion

Author

Listed:
  • Li, Hanwu

    (Center for Mathematical Economics, Bielefeld University)

  • Peng, Shige

    (Center for Mathematical Economics, Bielefeld University)

  • Soumana Hima, Abdoulaye

    (Center for Mathematical Economics, Bielefeld University)

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 *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.

Suggested Citation

  • Li, Hanwu & Peng, Shige & Soumana Hima, Abdoulaye, 2018. "Reflected Solutions of BSDEs Driven by $\textit{G}$-Brownian Motion," Center for Mathematical Economics Working Papers 590, Center for Mathematical Economics, Bielefeld University.
    • Handle: RePEc:bie:wpaper:590
    as

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    References listed on IDEAS

    as
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