Reflected quadratic BSDEs driven by G-Brownian motions
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Publication:1997195
DOI10.1007/S11401-020-0238-1zbMATH Open1456.60142arXiv1906.00583OpenAlexW3102038420MaRDI QIDQ1997195FDOQ1997195
Authors: Dong Cao, Shanjian Tang 
Publication date: 1 March 2021
Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1906.00583
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
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Cited In (12)
- 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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