Doubly Reflected Backward SDEs Driven by G-Brownian Motions and Fully Nonlinear PDEs with Double Obstacles
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2020
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| _version_ | 1866909151371722752 |
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| author | Li, Hanwu Ning, Ning |
| author_facet | Li, Hanwu Ning, Ning |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2008_09973 |
| institution | arXiv |
| publishDate | 2020 |
| record_format | arxiv |
| spellingShingle | Doubly Reflected Backward SDEs Driven by G-Brownian Motions and Fully Nonlinear PDEs with Double Obstacles Li, Hanwu Ning, Ning Probability 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. |
| title | Doubly Reflected Backward SDEs Driven by G-Brownian Motions and Fully Nonlinear PDEs with Double Obstacles |
| topic | Probability |
| url | https://arxiv.org/abs/2008.09973 |