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Reflected BSDEs driven by G-Brownian motion with non-Lipschitz coefficients

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arxiv 2212.12108 v1 pith:Z5CHYTVJ submitted 2022-12-23 math.PR

Hanwu Li This is my paper · ORCID
classification math.PR
keywords reflectedcoefficientsdriveng-brownianmotionapproximationbackwardbeta-order
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In this paper, we consider the reflected backward stochastic differential equations driven by G-Brownian motion (reflected G-BSDEs) whose coefficients satisfy the beta-order Mao's condition. The uniqueness is obtained by some a priori estimates and the existence can be proved by two different methods. The first one is Picard iteration and the second one is approximation via penalization. The latter construction is useful to get the comparison theorem.

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  1. Mind the jumps: when 2BSDEs meet semi-martingales

    math.PR 2025-07 conditional novelty 7.0 of 10

    Semi-martingale second-order BSDEs with jumps are proved well-posed over a unified class of diffusions, pure-jump processes, and discrete-time processes, while the jump-measure integrands resist model-independent aggregation.

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