Existence and Uniqueness of Solutions for Multi-dimensional Reflected Backward Stochastic Differential Equations with Diagonally Quadratic Generators
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 a...
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| Veröffentlicht in: | Journal of theoretical probability 2023-09, Vol.36 (3), p.1698-1719 |
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| container_title | Journal of theoretical probability |
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| creator | Chen, Yuyang Luo, Peng |
| description | 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. |
| doi_str_mv | 10.1007/s10959-022-01224-7 |
| format | Article |
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| subjects | Differential equations Mathematical analysis Mathematics Mathematics and Statistics Probability Theory and Stochastic Processes Statistics Theorems Uniqueness |
| title | Existence and Uniqueness of Solutions for Multi-dimensional Reflected Backward Stochastic Differential Equations with Diagonally Quadratic Generators |
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