Quadratic reflected BSDEs with unbounded obstacles

DOI10.1016/J.SPA.2011.12.013MaRDI QIDQ424464zbMATH OpenOpenAlexFDO

Authors Erhan Bayraktar, Song Yao

Publication date 1 June 2012

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

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

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)

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.

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Cited in

(23)

• Optimal stopping under g-Expectation with -integrable reward process
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