{
  "id": "1705.10973",
  "version": "v1",
  "published": "2017-05-31T08:02:45.000Z",
  "updated": "2017-05-31T08:02:45.000Z",
  "title": "Reflected Solutions of BSDEs Driven by G-Brownian Motion",
  "authors": [
    "Hanwu Li",
    "Shige Peng"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "In this paper, we study the reflected solutions of one-dimensional backward stochastic differential equations driven by G-Brownian motion (RGBSDE for short). The reflection keeps the solution above a given stochastic process. In order to derive the uniqueness of reflected GBSDEs, we apply a \"martingale condition\" instead of the Skorohod condition. Similar to the classical case, we prove the existence by approximation via penalization.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2017-05-31T08:02:45.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "g-brownian motion",
      "reflected solutions",
      "bsdes driven",
      "one-dimensional backward stochastic differential equations",
      "backward stochastic differential equations driven"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}