General existence results for reflected BSDE and BSDE (Q554228): Difference between revisions

Given a Brownian motion \(B\), a continuous, increasing process \(A\), and a continuous lower barrier process \(L\), the authors of the paper consider the generalised reflected backward stochastic differential equation (GRBSDE) \(dY_t=-f(t,Y_t,Z_t)dt-g(t,Y_t)dA_t-dK_t+Z_tdB_t,\) \(Y_T=\xi,\) with \(Y_t\geq L_t,\;t\in[0,T],\) and \((Y_t-L_t)dK_t=0,\;t\in[0,T],\) where the process \(K\) being a part of the solution \((Y,Z,K)\) is an increasing, continuous process. They study the existence of a solution for continuous generators \(f,g\) with general growth in \(y\) and stochastic quadratic growth in \(z\). Roughly speaking, they show that, if the BSDE formed with the coefficients of the growth conditions for the GRBSDE: \(dx_t=-\phi(x_t)d\eta_t-\frac12 C_s\psi(x_s)|x_t|^2dt-R_t|z_t|dt-dk_t+z_tdB_t,\;x_t\geq 0,\;t\in[0,T],\, x_T=\xi\vee\sup_{s\leq T}L_s,\) has a solution, then also the GRBSDE can be solved. Moreover, they discuss the conditions on the coefficients under which the above BSDE has a solution. In a last point the authors discuss conditions, under which the GRBSDE admits a solution, when \(L=-\infty\), that is, when it is a generalised BSDE without reflecting barrier. In their work, the authors discuss the case of bounded but also of unbounded coefficients \(\xi\) and \(L\).