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

2017/09/28 by Hanwu Li, Li, Hanwu, Shigē Péng +1 · 1 citation
Economics, Econometrics and Finance · Social Sciences · #Stochastic processes and financial applications #Insurance, Mortality, Demography, Risk Management #Economic theories and models

paper · pdf · doi:10.48550/arxiv.1709.09817

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.

Citations

• Conjugate convex functions in optimal stochastic control

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