Multi-dimensional Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion with Diagonal Generators

IF 0.8 4区数学 Q3 STATISTICS & PROBABILITY

Journal of Theoretical Probability Pub Date : 2024-04-26 DOI:10.1007/s10959-024-01334-4

Hanwu Li, Guomin Liu

引用次数: 0

Abstract

We consider the well-posedness problem of multi-dimensional reflected backward stochastic differential equations driven by G-Brownian motion (G-BSDEs) with diagonal generators. Two methods, including the penalization method and the Picard iteration argument, are provided to prove the existence and uniqueness of the solutions. We also study its connection with the obstacle problem of a system of fully nonlinear PDEs.

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带对角线发生器的 G 布朗运动驱动的多维反射后向随机微分方程

我们考虑了具有对角生成器的由 G 布朗运动驱动的多维反射反向随机微分方程（G-BSDE）的好求问题。我们提供了包括惩罚法和 Picard 迭代论证在内的两种方法来证明解的存在性和唯一性。我们还研究了它与全非线性 PDE 系统的障碍问题之间的联系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Theoretical Probability 数学-统计学与概率论

CiteScore

1.50

自引率

12.50%

发文量

审稿时长

6-12 weeks

期刊介绍： Journal of Theoretical Probability publishes high-quality, original papers in all areas of probability theory, including probability on semigroups, groups, vector spaces, other abstract structures, and random matrices. This multidisciplinary quarterly provides mathematicians and researchers in physics, engineering, statistics, financial mathematics, and computer science with a peer-reviewed forum for the exchange of vital ideas in the field of theoretical probability.