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Backward Stochastic Differential Equations Driven by G-Brownian Motion with Double Reflections
Journal of Theoretical Probability ( IF 0.8 ) Pub Date : 2020-09-13 , DOI: 10.1007/s10959-020-01038-5 Hanwu Li , Yongsheng Song
Journal of Theoretical Probability ( IF 0.8 ) Pub Date : 2020-09-13 , DOI: 10.1007/s10959-020-01038-5 Hanwu Li , Yongsheng Song
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.
中文翻译:
具有双反射的 G-布朗运动驱动的后向随机微分方程
在本文中,我们研究了具有两个反射障碍的 G-布朗运动驱动的反射后向随机微分方程,这意味着解位于两个规定的过程之间。提出了一种新的近似 Skorohod 条件来推导解的唯一性和存在性。唯一性可以通过先验估计来证明,存在性是通过惩罚方法获得的。
更新日期:2020-09-13
中文翻译:
具有双反射的 G-布朗运动驱动的后向随机微分方程
在本文中,我们研究了具有两个反射障碍的 G-布朗运动驱动的反射后向随机微分方程,这意味着解位于两个规定的过程之间。提出了一种新的近似 Skorohod 条件来推导解的唯一性和存在性。唯一性可以通过先验估计来证明,存在性是通过惩罚方法获得的。