Reflected BSDE driven by G-Brownian motion with an upper obstacle

Hanwu Li; Shige Peng

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arXiv · 1709.09817

Reflected BSDE driven by G-Brownian motion with an upper obstacle

Hanwu Li·Shige Peng

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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.

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Hanwu Li, Shige Peng. 2017-09-28. Reflected BSDE driven by G-Brownian motion with an upper obstacle. https://arxiv.org/abs/1709.09817

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