Work

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

Year: 2017

Type: preprint

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.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1709.09817

Authors: Li, Hanwu, Peng, Shige

Institution: Shandong University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Higher Education Discipline Innovation Project

Award: G8063778145

OpenAlex ID: W2759049513

Cites: 10

Cited by: 5

Related to: 10