由具有时变 Lipschitz 系数的 G-Brownian 运动驱动的反射 BSDEs

IF 0.8 4区 数学 Q3 STATISTICS & PROBABILITY
Hanwu Li
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引用次数: 0

摘要

在本文中,我们考虑了由 G 布朗运动驱动的、具有时变 Lipschitz 系数的反射后向随机微分方程(反射 G-BSDE)。我们通过建立先验估计得到唯一性结果。对于存在性,解可以用具有 Lipschitz 条件的反射 G-BSDEs 族和具有时变系数的受惩罚 G-BSDEs 近似。后一种近似方法有助于得到比较定理。最后,我们研究了具有无限时间跨度的反射 G-BSD。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Reflected BSDEs driven by G-Brownian motion with time-varying Lipschitz coefficients

In this paper, we consider the reflected backward stochastic differential equations driven by G-Brownian motion (reflected G-BSDEs) with time-varying Lipschitz coefficients. We obtain the uniqueness result by establishing a priori estimates. For the existence, the solution can be approximated by a family of reflected G-BSDEs with Lipschitz conditions and by penalized G-BSDEs with time-varying coefficients. The latter approximation is useful to get the comparison theorem. Finally, we study the reflected G-BSDEs with infinite time horizon.

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来源期刊
Stochastics and Dynamics
Stochastics and Dynamics 数学-统计学与概率论
CiteScore
1.70
自引率
0.00%
发文量
49
审稿时长
>12 weeks
期刊介绍: This interdisciplinary journal is devoted to publishing high quality papers in modeling, analyzing, quantifying and predicting stochastic phenomena in science and engineering from a dynamical system''s point of view. Papers can be about theory, experiments, algorithms, numerical simulation and applications. Papers studying the dynamics of stochastic phenomena by means of random or stochastic ordinary, partial or functional differential equations or random mappings are particularly welcome, and so are studies of stochasticity in deterministic systems.
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