Doubly Reflected Backward SDEs Driven by G-Brownian Motions and Fully Nonlinear PDEs with Double Obstacles

Abstract: In this paper, we introduce a new method to study the doubly reflected backward stochastic differential equation driven by G-Brownian motion (G-BSDE). Our approach involves approximating the solution through a family of penalized reflected G-BSDEs with a lower obstacle that are monotone decreasing. By employing this approach, we establish the well-posedness of the solution of the doubly reflected G-BSDE with the weakest known conditions, and uncover its relationship with the fully nonlinear partial differential equation with double obstacles for the first time.