Li, Hanwu; Peng, Shige; Soumana Hima, Abdoulaye: Reflected Solutions of BSDEs Driven by $\textit{G}$-Brownian Motion. In: . Jg.590. 2017, S. 32 ff.
Inhalt
- Introduction
- Preliminaries
- Reflected G-BSDE with a lower obstacle and some a priori estimates
- Penalized method and convergence properties
- Existence and uniqueness of reflected G-BSDE with a lower obstacle
- Relation between reflected G-BSDEs and obstacle problems for nonlinear parabolic PDEs
- American options under volatility uncertainty