Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth (Q1932445): Difference between revisions

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Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth
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    Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth (English)
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    18 January 2013
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    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.
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    reflected backward stochastic differential equation
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    exponential transform
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    stochastic quadratic growth
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    comparison theorem
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