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Doubly Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion with Uniformly Continuous Coefficients

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Abstract

In this paper, we consider doubly reflected backward stochastic differential equations driven by G-Brownian motion with uniformly continuous coefficients. The existence of solutions can be obtained by a monotone convergence argument, a linearization method, a penalization method and the method of Picard iteration.

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  1. School of Mathematics and Statistics, Shandong Normal University, **an, 250014, Shandong, People’s Republic of China

    Shengqiu Sun

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Sun, S. Doubly Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion with Uniformly Continuous Coefficients. J Theor Probab (2024). https://doi.org/10.1007/s10959-024-01358-w

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