References & Citations
Mathematics > Probability
Title: Doubly Reflected Backward SDEs Driven by G-Brownian Motion--a Monotone Approach
(Submitted on 23 Aug 2020 (this version), latest version 27 Mar 2024 (v2))
Abstract: In this paper, we study the doubly reflected backward stochastic differential equations driven by G-Brownian motion. We show that the solution can be constructed by a family of penalized reflected G-BSDEs with a lower obstacle. The advantage of this construction is that the convergence sequence is monotone, which is helpful to establish the relation between doubly reflected G-BSDEs and double obstacle fully nonlinear partial differential equations.
Submission history
From: Hanwu Li [view email][v1] Sun, 23 Aug 2020 06:31:57 GMT (25kb)
[v2] Wed, 27 Mar 2024 03:21:42 GMT (29kb)
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