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

Published 28 Sep 2017 in math.PR | (1709.09817v1)

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.

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