General existence results for reflected BSDE and BSDE

DOI10.1016/J.BULSCI.2011.04.003zbMATH Open1243.60047arXiv0809.1353OpenAlexW2964160724MaRDI QIDQ554228FDOQ554228

M. Hassani, E. H. Essaky

Publication date: 29 July 2011

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

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 $fds+gd{A}_s$ is continuous with general growth with respect to the variable $y$ and stochastic quadratic growth with respect to the variable $z$. We deal with the case of a bounded terminal condition $xi$ and a bounded barrier $L$ 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.

Full work available at URL: https://arxiv.org/abs/0809.1353

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD-Tanaka+formula&go=Go It��-Tanaka formula]generalised BSDEGeneralised reflected BSDEstochastic quadratic growth

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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Cited In (14)

• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• Title not available (Why is that?)
• Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier
• Penalization schemes for BSDEs and reflected BSDEs with generalized driver
• Quadratic BSDEs with mean reflection driven by G-brownian motion
• Nonlinear predictable representation and \({\mathbb{L}^1} \)-solutions of backward SDEs and second-order backward SDEs
• Optimal stopping of marked point processes and reflected backward stochastic differential equations
• Reflected BSDEs with logarithmic growth and applications in mixed stochastic control problems
• BSDEs with monotone generator and two irregular reflecting barriers
• An existence theorem for multidimensional BSDEs with mixed reflections
• One dimensional BSDEs with logarithmic growth application to PDEs
• On Z-mean reflected BSDEs
• Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles
• Stochastic quadratic BSDE with two RCLL obstacles

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