Quadratic reflected BSDEs and related obstacle problems for PDEs

DOI10.1080/03610926.2018.1543778MaRDI QIDQ5085597zbMATH OpenOpenAlexWikidataFDO

Authors Zongyuan Huang, Haiyang Wang, Zhen Wu, Zhiyong Yu

Publication date 27 June 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2018.1543778

zbMATH Keywords

comparison theoremconvex generatorsFeynman-Kac formulaoptimal stopping timequadratic growthreflected BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Second-order parabolic equations (35K10)

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Cites work

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• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected solutions of backward stochastic differential equations with continuous coefficient
• SPDEs with polynomial growth coefficients and the Malliavin calculus method
• Stochastic Differential Utility

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