Quadratic reflected BSDEs and related obstacle problems for PDEs

Zongyuan Huang, Haiyang Wang, Zhen Wu and Zhiyong Yu

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 3, 567-589

Abstract: In this paper, we study a kind of reflected backward stochastic differential equations (BSDEs) whose generators are of quadratic growth in z and linear growth in y. We first give an estimate of solutions to such reflected BSDEs. Then under the condition that the generators are convex with respect to z, we can obtain a comparison theorem, which implies the uniqueness of solutions for this kind of reflected BSDEs. Besides, the assumption of convexity also leads to a stability property in the spirit of above estimate. We further establish the nonlinear Feynman-Kac formula of the related obstacle problems for partial differential equations (PDEs) in our framework. At last, a numerical example is given to illustrate the applications of our theoretical results, as well as its connection with an optimal stopping time problem.

Date: 2020
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DOI: 10.1080/03610926.2018.1543778

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