General existence results for reflected BSDE and BSDE
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Abstract: In this paper, we are concerned with the problem of existence of solutions for generalized reflected backward stochastic differential equations (GRBSDEs for short) and generalized backward stochastic differential equations (GBSDEs for short) when the generator is continuous with general growth with respect to the variable and stochastic quadratic growth with respect to the variable . We deal with the case of a bounded terminal condition and a bounded barrier as well as the case of unbounded ones. This is done by using the notion of generalized BSDEs with two reflecting barriers studied in cite{EH}. The work is suggested by the interest the results might have in finance, control and game theory.
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Cited in
(19)- Existence and uniqueness results for BSDE with jumps: the whole nine yards
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- Stochastic quadratic BSDE with two RCLL obstacles
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