Doubly Reflected Backward SDEs Driven by G-Brownian Motion--a Monotone Approach

In this paper, we study the doubly reflected backward stochastic differential equations driven by G-Brownian motion. We show that the solution can be constructed by a family of penalized reflected G-BSDEs with a lower obstacle. The advantage of this construction is that the convergence sequence is monotone, which is helpful to establish the relation between doubly reflected G-BSDEs and double obstacle fully nonlinear partial differential equations.