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

2022/12/23 by Hanwu Li, Li, Hanwu
Economics, Econometrics and Finance · Social Sciences · #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2212.12108

openalex publication_date 2022/12/23 · openalex created_date 2023/01/04 · openalex updated_date 2026/07/28

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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