Reflected BSDE driven by G-Brownian motion with an upper obstacle

Abstract

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.

References in corpus (1)

• Reflected Solutions of BSDEs Driven by G-Brownian Motion

Cited by in corpus (1)

• Reflected Quadratic BSDEs driven by $G$-Brownian Motions