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Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion Under Monotonicity Condition

Author

Listed:
  • Bingjun Wang

    (Jinling Institute of Technology
    Nanjing Normal University)

  • Hongjun Gao

    (Southeast University)

  • Mingxia Yuan

    (Nanjing Vocational Institute of Transport Technology)

  • Qingkun Xiao

    (Nanjing Agricultural University)

Abstract

In this paper, we construct an approximation sequence by a smoothing method for continuous functions; then, we prove that there exists a unique solution to reflected backward stochastic differential equations driven by G-Brownian motion when the coefficients do not satisfy the Lipschitz condition. Moreover, we prove a comparison theorem.

Suggested Citation

  • Bingjun Wang & Hongjun Gao & Mingxia Yuan & Qingkun Xiao, 2024. "Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion Under Monotonicity Condition," Journal of Theoretical Probability, Springer, vol. 37(2), pages 1902-1926, June.
    • Handle: RePEc:spr:jotpro:v:37:y:2024:i:2:d:10.1007_s10959-023-01279-0
    DOI: 10.1007/s10959-023-01279-0
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