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

zbMATH Open1490.60137MaRDI QIDQ5085895FDOQ5085895

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

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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)

Cites Work

• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with reflection and Dynkin games
• BSDEs with two reflecting barriers: the general result
• Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
• ON ESTIMATES OF THE MAXIMUM OF A SOLUTION OF A PARABOLIC EQUATION AND ESTIMATES OF THE DISTRIBUTION OF A SEMIMARTINGALE
• Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth
• Backward SDEs with two barriers and continuous coefficient: an existence result
• Solvability of some quadratic BSDEs without exponential moments
• Stochastic equations and krylov's estimates for semimartingales
• Quadratic BSDE with \(\mathbb{L}^{2}\)-terminal data: Krylov's estimate, Itô-Krylov's formula and existence results
• Title not available (Why is that?)
• Some properties of solutions of stochastic differential equations driven by semi-martingales
• Reflected backward stochastic differential equation with super-linear growth

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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