Reflected Quadratic BSDEs driven by $G$-Brownian Motions

Abstract

In this paper, we consider a reflected backward stochastic differential equation driven by a $G$-Brownian motion ($G$-BSDE), with the generator growing quadratically in the second unknown. We obtain the existence by the penalty method, and a priori estimates which implies the uniqueness, for solutions of the $G$-BSDE. Moreover, focusing our discussion at the Markovian setting, we give a nonlinear Feynman-Kac formula for solutions of a fully nonlinear partial differential equation.

References in corpus (5)

• Some properties on $G$-evaluation and its applications to $G$-martingale decomposition
• Dual formulation of second order target problems
• Uniqueness Results for Second Order Bellman-Isaacs Equations under Quadratic Growth Assumptions and Applications
• Reflected BSDE with quadratic growth and unbounded terminal value
• Reflected BSDE driven by G-Brownian motion with an upper obstacle