Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator (Q2498190): Difference between revisions

The authors study 1-dimensional backward stochastic differential equations (BSDE) which are reflected at two barriers, equations \(dY_t=-f(t,Y_t,Z_t)dt+Z_tdB_t,t\in[0,T], \, Y_T=\xi\) (\(B\) is a \(d\)-dimensional Brownian motion, \(\xi\in L^2(\Omega,{\mathcal F}_T^B, P)\)) whose solution \(Y\) is forced to stay between two barrier processes \(L\) and \(U\). Such a problem has been first studied by Cvitanic, Karatzas in 1996. They proved the existence and the uniqueness for Lipschitz drivers \(f\) and barriers which are either semimartingales or satisfy the so-called Mokobodski's condition. The objective of the authors of the present paper is twice: At the one hand, using the results of Kobylanski for BSDEs, they consider drivers \(f\) with a quadratic growth in \(z\), on the other hand they replace Mokobodski's condition by assuming \(L<U\).