Reflected BSDE driven by G-Brownian motion with an upper obstacle
classification
🧮 math.PR
keywords
reflecteddriveng-brownianmotionobstacleupperapproximationbackward
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In this paper, we study the reflected backward stochastic differential equation driven by G-Brownian motion (reflected G-BSDE for short) with an upper obstacle. The existence is proved by approximation via penalization. By using a variant comparison theorem, we show that the solution we constructed is the largest one.
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