Doubly reflected backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients

DOI10.1007/s10959-024-01358-wMaRDI QIDQ6633164

Shengqiu Sun

Publication date: 5 November 2024

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

zbMATH Keywords

backward stochastic differential equations\(G\)-Brownian motion\(G\)-expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Second order reflected backward stochastic differential equations
• Second-order BSDEs with general reflection and game options under uncertainty
• Wellposedness of second order backward SDEs
• Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
• Stopping times and related Itô's calculus with \(G\)-Brownian motion
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with a uniformly continuous generator and related \(g\)-expectation
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Backward stochastic differential equations with reflection and Dynkin games
• Second-order BSDEs with jumps: formulation and uniqueness
• Backward stochastic differential equations with non-Lipschitz coefficients
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected solutions of backward stochastic differential equations with continuous coefficient
• Backward stochastic differential equations with continuous coefficient
• Multidimensional backward stochastic differential equations with uniformly continuous coeffi\-cients
• Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
• Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
• Stochastic control for a class of nonlinear kernels and applications
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Second-order backward stochastic differential equations under a monotonicity condition
• Reflected quadratic BSDEs driven by \(G\)-Brownian motions
• Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators
• Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients in \((y, z)\)
• Second order backward SDE with random terminal time
• BSDEs driven by \(G\)-Brownian motion with time-varying Lipschitz condition
• Representation of solutions to 2BSDEs in an extended monotonicity setting
• Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle
• BSDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients
• Corrigendum to: ``Second-order reflected backward stochastic differential equations and ``Second-order BSDEs with general reflection and game options under uncertainty
• Second-order BSDE under monotonicity condition and liquidation problem under uncertainty
• Probabilistic interpretation for solutions of fully nonlinear stochastic pdes
• Backward stochastic differential equations driven by \(G\)-Brownian motion
• Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
• Second order backward stochastic differential equations with quadratic growth
• Second order BSDEs with jumps: existence and probabilistic representation for fully-nonlinear PIDEs
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Solutions of BSDEs with a kind of non-Lipschitz coefficients driven by \(G\)-Brownian motion
• Backward stochastic differential equations driven by \(G\)-Brownian motion with double reflections
• A new existence result for second-order BSDEs with quadratic growth and their applications
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• Backward Stochastic Differential Equations in Finance
• L^pSolutions of One-Dimensional Backward Stochastic Differential Equations with Continuous Coefficients
• Multi-dimensional BSDEs driven by G-Brownian motion and related system of fully nonlinear PDEs
• Reflected backward stochastic differential equations driven by \(G\)-Brownian motion under monotonicity condition

This page was built for publication: Doubly reflected backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients