Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient

Khaled Bahlali, Hamadène, SaI¨d and Brahim Mezerdi

Stochastic Processes and their Applications, 2005, vol. 115, issue 7, 1107-1129

Abstract: We deal with backward stochastic differential equations with two reflecting barriers and a continuous coefficient which is, first, linear growth in (y,z) and then quadratic growth with respect to z. In both cases we show the existence of a maximal solution.

Keywords: Backward; SDEs; Reflecting; barriers; Risk-sensitive; zero-sum; stopping; game (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (8)

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