Backward Stochastic Differential Equations Driven by G-Brownian Motion with Double Reflections
Backward Stochastic Differential Equations Driven by G-Brownian Motion with Double Reflections
In this paper, we study the reflected backward stochastic differential equations driven by G-Brownian motion with two reflecting obstacles, which means that the solution lies between two prescribed processes. A new kind of approximate Skorohod condition is 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.
Hanwu Li、Yongsheng Song
数学
Hanwu Li,Yongsheng Song.Backward Stochastic Differential Equations Driven by G-Brownian Motion with Double Reflections[EB/OL].(2019-12-12)[2025-05-06].https://arxiv.org/abs/1912.05808.点此复制
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