Multi-dimensional Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion with Diagonal Generators

被引：0

作者：

Li, Hanwu ^{[1
,2
]}

Liu, Guomin ^{[3
]}

机构：

[1] Shandong Univ, Res Ctr Math & Interdisciplinary Sci, Qingdao 266237, Peoples R China

[2] Shandong Univ, Frontiers Sci Ctr Nonlinear Expectat, Minist Educ, Qingdao 266237, Peoples R China

[3] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China

来源：

JOURNAL OF THEORETICAL PROBABILITY | 2024年 / 37卷 / 03期

基金：

中国国家自然科学基金;

关键词：

G-Expectation; G-Brownian motion; Multi-dimensional BSDEs; Fully nonlinear PDEs; COMPARISON THEOREM; CALCULUS; OBSTACLE; BSDES;

D O I：

10.1007/s10959-024-01334-4

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：2615 / 2645

页数：31

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