Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth (Q1932445): Difference between revisions
From MaRDI portal
Removed claims |
Changed an Item |
||
(3 intermediate revisions by 3 users not shown) | |||
Property / author | |||
Property / author: El Hassan Es-Saky / rank | |||
Normal rank | |||
Property / author | |||
Property / author: Mohammed Hassani / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2964202953 / rank | |||
Normal rank | |||
Property / arXiv ID | |||
Property / arXiv ID: 0805.2979 / rank | |||
Normal rank |
Latest revision as of 22:52, 18 April 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth |
scientific article |
Statements
Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth (English)
0 references
18 January 2013
0 references
The authors study the existence of a one-dimensional generalized reflected backward stochastic differential equation with two barriers (GRBSDE) by means of exponential transform and a comparison theorem. They choose milder assumptions on the given reflecting barriers and the generator of the equation which is continuous has general growth in \(y\) and stochastic quadratic growth in \(z\). The goal of the exponential transform is to bound the terminal condition and the barriers of the changed equation. The equivalence of both equations consists of the existence of a solution to one when there is a solution for the other. Therefore, the problem can be reduced to find a maximal solution of a GBSDE under weaker assumptions. The main idea of the proof is to regulate the equation by techniques of sup-convolution and stopping times.
0 references
reflected backward stochastic differential equation
0 references
exponential transform
0 references
stochastic quadratic growth
0 references
comparison theorem
0 references