Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/324250 
Year of Publication: 
2020
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 715
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
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.
Subjects: 
G-expectation
reflected backward SDEs
upper obstacle
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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