Quadratic BSDEs with two reflecting barriers and a square integrable terminal value

MaRDI QIDQ5085895zbMATH OpenFDO

Authors Roubi Abdallah, Labed Boubakeur, Khaled Bahlali

Publication date 30 June 2022

Full work available at URL https://pjm.ppu.edu/sites/default/files/papers/PJM_Speciall_Issue_II_March_2022_82_to_91.pdf

zbMATH Keywords

local timeoccupation time formulaTanaka's formulaKrylov's inequalityItô-Krylov's formulareflected quadratic BSDE

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 7606273 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• BSDEs with two reflecting barriers: the general result
• Backward SDEs with two barriers and continuous coefficient: an existence result
• Backward stochastic differential equations with reflection and Dynkin games
• Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
• Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth
• ON ESTIMATES OF THE MAXIMUM OF A SOLUTION OF A PARABOLIC EQUATION AND ESTIMATES OF THE DISTRIBUTION OF A SEMIMARTINGALE
• Quadratic BSDE with \(\mathbb{L}^{2}\)-terminal data: Krylov's estimate, Itô-Krylov's formula and existence results
• Reflected backward stochastic differential equation with super-linear growth
• Solvability of some quadratic BSDEs without exponential moments
• Some properties of solutions of stochastic differential equations driven by semi-martingales
• Stochastic equations and krylov's estimates for semimartingales

Cited in

(8)

• L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations
• Quadratic reflected BSDEs with unbounded obstacles
• Some results on general quadratic reflected BSDEs driven by a continuous martingale
• Quadratic BSDEs with mean reflection
• Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
• Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
• Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles
• Stochastic quadratic BSDE with two RCLL obstacles

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