Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth

被引：19

作者：

Essaky, E. H. ^{[1
]}

Hassani, M. ^{[1
]}

机构：

[1] Univ Cadi Ayyad, Fac Poly Disciplinaire, Lab Modelisat & Combinatoire, Dept Math & Informat, Safi, Morocco

来源：

JOURNAL OF DIFFERENTIAL EQUATIONS | 2013年 / 254卷 / 03期

关键词：

Reflected backward stochastic differential equation; Stochastic quadratic growth; Comparison theorem; Exponential transformation; PARTIAL-DIFFERENTIAL-EQUATIONS; 2 REFLECTING BARRIERS; CONTINUOUS COEFFICIENT; GAMES;

D O I：

10.1016/j.jde.2012.10.024

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We study the existence of a solution for a one-dimensional generalized backward stochastic differential equation with two reflecting barriers (GRBSDE for short) under assumptions on the input data which are weaker than that on the current literature. In particular, we construct a maximal solution for such a GRBSDE when the terminal condition xi is only F-T-measurable and the driver f is continuous with general growth with respect to the variable y and stochastic quadratic growth with respect to the variable z without assuming any P-integrability conditions. The work is suggested by the interest the results might have in Dynkin game problem and American game option. (C) 2012 Elsevier Inc. All rights reserved.

引用

页码：1500 / 1528

页数：29

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