Quadratic reflected BSDEs with unbounded obstacles

DOI10.1016/J.SPA.2011.12.013zbMATH Open1268.60082arXiv1005.3565OpenAlexW3122821172MaRDI QIDQ424464FDOQ424464

Authors: Erhan Bayraktar, Song Yao 

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In this paper, we analyze a real-valued reflected backward stochastic differential equation (RBSDE) with an unbounded obstacle and an unbounded terminal condition when its generator $f$ has quadratic growth in the $z$-variable. In particular, we obtain existence, comparison, and stability results, and consider the optimal stopping for quadratic $g$-evaluations. As an application of our results we analyze the obstacle problem for semi-linear parabolic PDEs in which the non-linearity appears as the square of the gradient. Finally, we prove a comparison theorem for these obstacle problems when the generator is convex or concave in the $z$-variable.

Full work available at URL: https://arxiv.org/abs/1005.3565

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zbMATH Keywords

stabilitybackward stochastic differential equationviscosity solution\(\theta\)-difference methodconcave generatorFenchel-Legendre dualityoptimal stopping for quadratic g-evaluationquadratic reflected BSDEsemilinear PDEs with obstacle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (23)

• Quadratic reflected BSDEs and related obstacle problems for PDEs
• Title not available (Why is that?)
• Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type
• Quadratic BSDEs with two reflecting barriers and a square integrable terminal value
• Some results on general quadratic reflected BSDEs driven by a continuous martingale
• Optimal stopping under g-Expectation with -integrable reward process
• Reflected and doubly reflected BSDEs driven by RCLL martingales
• Viscosity solutions of path-dependent integro-differential equations
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• Quadratic mean-field reflected BSDEs
• Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
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• American options in nonlinear markets
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• Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection
• Optimal stopping with random maturity under nonlinear expectations
• Stochastic control representations for penalized backward stochastic differential equations
• \(L^p\) solution of reflected BSDEs with one continuous barrier and quasi-linear growth generators
• Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles
• Reflections on BSDEs
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• High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion

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