Existence and uniqueness of solutions for multi-dimensional reflected BSDEs with diagonally quadratic generators
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Publication:6382986
arXiv2111.07245MaRDI QIDQ6382986FDOQ6382986
Authors: Yuyang Chen, Peng Luo 
Publication date: 14 November 2021
Abstract: In this paper, we study multi-dimensional reflected backward stochastic differential equations with diagonally quadratic generators. Using the comparison theorem for diagonally quadratic BSDEs which is established recently in [14], we obtain the existence and uniqueness of a solution by a penalization method. Moreover, we provide a comparison theorem.
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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