Reflected quadratic BSDEs driven by G-Brownian motions
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Publication:1997195
Abstract: In this paper, we consider a reflected backward stochastic differential equation driven by a -Brownian motion (-BSDE), with the generator growing quadratically in the second unknown. We obtain the existence by the penalty method, and a priori estimates which implies the uniqueness, for solutions of the -BSDE. Moreover, focusing our discussion at the Markovian setting, we give a nonlinear Feynman-Kac formula for solutions of a fully nonlinear partial differential equation.
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Cited in
(12)- Existence and uniqueness of solutions for multi-dimensional reflected backward stochastic differential equations with diagonally quadratic generators
- Quadratic reflected BSDEs and related obstacle problems for PDEs
- Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
- Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle
- Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
- Reflected forward-backward stochastic differential equations driven by \(G\)-Brownian motion with continuous monotone coefficients
- Quadratic BSDEs with mean reflection
- Quadratic BSDEs with mean reflection driven by G-brownian motion
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- Reflected BSDEs driven by \(G\)-Brownian motion with time-varying Lipschitz coefficients
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