Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections
文献类型：期刊论文
| 作者 | Li, Hanwu1; Song, Yongsheng2,3
|
| 刊名 | JOURNAL OF THEORETICAL PROBABILITY
 |
| 出版日期 | 2020-09-13 |
| 页码 | 30 |
| 关键词 | G-expectation Reflected backward SDE Approximate Skorohod condition |
| ISSN号 | 0894-9840 |
| DOI | 10.1007/s10959-020-01038-5 |
| 英文摘要 | In this paper, we study the reflected backward stochastic differential equations driven byG-Brownian motion with two reflecting obstacles, which means that the solution lies between two prescribed processes. A new kind ofapproximate Skorohod conditionis proposed to derive the uniqueness and existence of the solutions. The uniqueness can be proved by a priori estimates and the existence is obtained via a penalization method. |
| 资助项目 | Projekt DEAL |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000568973900001 |
| 出版者 | SPRINGER/PLENUM PUBLISHERS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/52190]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Li, Hanwu |
| 作者单位 | 1.Bielefeld Univ, Ctr Math Econ IMW, Univ Str 25, D-33615 Bielefeld, Germany 2.Chinese Acad Sci, RCSDS, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China |
| 推荐引用方式 GB/T 7714 | Li, Hanwu,Song, Yongsheng. Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections[J]. JOURNAL OF THEORETICAL PROBABILITY,2020:30. |
| APA | Li, Hanwu,&Song, Yongsheng.(2020).Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections.JOURNAL OF THEORETICAL PROBABILITY,30. |
| MLA | Li, Hanwu,et al."Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections".JOURNAL OF THEORETICAL PROBABILITY (2020):30. |
入库方式： OAI收割
来源：数学与系统科学研究院
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