Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/324262 
Year of Publication: 
2020
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 717
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Abstract: 
In this paper, we study the reflected backward stochastic differential equations driven by G-Brownian motion with two reflecting obstacles, which means that the solution lies between two prescribed processes. A new kind of approximate Skorohod condition is proposed to derive the uniqueness and existence of the solutions. The uniqueness can be proved by a priori estimates and the existence is obtained via a penalization method.
Subjects: 
G-expectation
reflected backward SDE
approximate Skorohod condition
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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