Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections

doi:10.1007/s10959-020-01038-5

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	Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections
	Li, Hanwu 1; Song, Yongsheng2,3
	2020-09-13
发表期刊	JOURNAL OF THEORETICAL PROBABILITY
ISSN	0894-9840
页码	30
摘要	In this paper, we study the reflected backward stochastic differential equations driven byG-Brownian motion with two reflecting obstacles, which means that the solution lies between two prescribed processes. A new kind ofapproximate Skorohod conditionis 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.
关键词	G-expectation Reflected backward SDE Approximate Skorohod condition
DOI	10.1007/s10959-020-01038-5
收录类别	SCI
语种	英语
资助项目	Projekt DEAL
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000568973900001
出版者	SPRINGER/PLENUM PUBLISHERS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/52191
专题	应用数学研究所
通讯作者	Li, Hanwu
作者单位	1.Bielefeld Univ, Ctr Math Econ IMW, Univ Str 25, D-33615 Bielefeld, Germany 2.Chinese Acad Sci, RCSDS, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China
推荐引用方式 GB/T 7714	Li, Hanwu,Song, Yongsheng. Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections[J]. JOURNAL OF THEORETICAL PROBABILITY,2020:30.
APA	Li, Hanwu,&Song, Yongsheng.(2020).Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections.JOURNAL OF THEORETICAL PROBABILITY,30.
MLA	Li, Hanwu,et al."Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections".JOURNAL OF THEORETICAL PROBABILITY (2020):30.