Reflected BSDEs driven by G-Brownian motion with non-Lipschitz coefficients

Hanwu Li

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arXiv · 2212.12108

Reflected BSDEs driven by G-Brownian motion with non-Lipschitz coefficients

Hanwu Li

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Abstract

In this paper, we consider the reflected backward stochastic differential equations driven by G-Brownian motion (reflected G-BSDEs) whose coefficients satisfy the beta-order Mao's condition. The uniqueness is obtained by some a priori estimates and the existence can be proved by two different methods. The first one is Picard iteration and the second one is approximation via penalization. The latter construction is useful to get the comparison theorem.

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Hanwu Li. 2022-12-23. Reflected BSDEs driven by G-Brownian motion with non-Lipschitz coefficients. https://arxiv.org/abs/2212.12108

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