Multi-dimensional Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion with Diagonal Generators
We consider the well-posedness problem of multi-dimensional reflected backward stochastic differential equations driven by G -Brownian motion ( G -BSDEs) with diagonal generators. Two methods, including the penalization method and the Picard iteration argument, are provided to prove the existence an...
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Veröffentlicht in: | Journal of theoretical probability 2024, Vol.37 (3), p.2615-2645 |
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Hauptverfasser: | , |
Format: | Artikel |
Sprache: | eng |
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Online-Zugang: | Volltext |
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Zusammenfassung: | We consider the well-posedness problem of multi-dimensional reflected backward stochastic differential equations driven by
G
-Brownian motion (
G
-BSDEs) with diagonal generators. Two methods, including the penalization method and the Picard iteration argument, are provided to prove the existence and uniqueness of the solutions. We also study its connection with the obstacle problem of a system of fully nonlinear PDEs. |
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ISSN: | 0894-9840 1572-9230 |
DOI: | 10.1007/s10959-024-01334-4 |