Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/201615 
Year of Publication: 
2017
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 590
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
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 G-BSDEs, we apply a "martingale condition" instead of the Skorohod condition. Similar to the classical case, we prove the existence by approximation via penalization.
Subjects: 
G-expectation
G-BSDEs
reflected G-BSDEs
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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