Existence and Uniqueness of Solutions for Multi-dimensional Reflected Backward Stochastic Differential Equations with Diagonally Quadratic Generators

Yuyang Chen () and Peng Luo ()
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Yuyang Chen: Shanghai Jiao Tong University
Peng Luo: Shanghai Jiao Tong University

Journal of Theoretical Probability, 2023, vol. 36, issue 3, 1698-1719

Abstract: Abstract In this paper, we study multi-dimensional reflected backward stochastic differential equations (BSDEs) with diagonally quadratic generators. Using the comparison theorem for diagonally quadratic BSDEs established recently in Luo (Disc Contin Dyn Syst 41(6):2543–2557, 2021), we obtain the existence and uniqueness of a solution by a penalization method. Moreover, we provide a comparison theorem.

Keywords: Reflected BSDEs; Diagonally quadratic generators; BMO martingales; Comparison theorem; 60H10; 60H30 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10959-022-01224-7

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