Reflected stochastic differential equations driven by $G$-Brownian motion in non-convex domains

Yiqing Lin, Abdoulaye Soumana Hima

Published 2017-03-09Version 1

In this paper, we first review the penalization method for solving deterministic Skorokhod problems in non-convex domains and establish estimates for problems with $\alpha$-H\"older continuous functions. With the help of these results obtained previously for deterministic problems, we pathwisely define the reflected $G$-Brownian motion and prove its existence and uniqueness in a Banach space. Finally, multi-dimensional reflected stochastic differential equations driven by $G$-Brownian motion are investigated via a fixed-point argument.