Stochastic quadratic BSDE with two RCLL obstacles

E.H. Essaky, M. Hassani and Y. Ouknine

Stochastic Processes and their Applications, 2015, vol. 125, issue 6, 2147-2189

Abstract: We study the problem of existence of solutions for generalized backward stochastic differential equation with two reflecting barriers (GRBSDE for short) under weaker assumptions on the data. Roughly speaking we show the existence of a maximal solution for GRBSDE when the terminal condition ξ is FT-measurable, the coefficient f is continuous with general growth with respect to the variable y and stochastic quadratic growth with respect to the variable z and the reflecting barriers L and U are just right continuous with left limits. The result is proved without assuming any P-integrability conditions on the terminal data.

Keywords: Backward stochastic differential equation; Stochastic quadratic growth; Comparison theorem; Exponential transformation (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spa.2014.12.009

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