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Register a new userGeneral Existence Results for Reflected BSDE and BSDE
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In this paper, we are concerned with the problem of existence of solutions for generalized reflected backward stochastic differential equations (GRBSDEs for short) and generalized backward stochastic differential equations (GBSDEs for short) when the generator $fds + gdA_s$ is continuous with general growth with respect to the variable $y$ and stochastic quadratic growth with respect to the variable $z$. We deal with the case of a bounded terminal condition $xi$ and a bounded barrier $L$ as well as the case of unbounded ones. This is done by using the notion of generalized BSDEs with two reflecting barriers studied in cite{EH}. The work is suggested by the interest the results might have in finance, control and game theory.
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In this paper, we study the reflected backward stochastic differential equation driven by G-Brownian motion (reflected G-BSDE for short) with an upper obstacle. The existence is proved by approximation via penalization. By using a variant comparison theorem, we show that the solution we constructed is the largest one.
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 xi is F_T-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 left limited. The result is proved without assuming any P-integrability conditions.
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In this paper, we study a multi-dimensional backward stochastic differential equation (BSDE) with oblique reflection, which is a BSDE reflected on the boundary of a special unbounded convex domain along an oblique direction, and which arises naturally in the study of optimal switching problem. The existence of the adapted solution is obtained by the penalization method, the monotone convergence, and the a priori estimations. The uniqueness is obtained by a verification method (the first component of any adapted solution is shown to be the vector value of a switching problem for BSDEs). As applications, we apply the above results to solve the optimal switching problem for stochastic differential equations of functional type, and we give also a probabilistic interpretation of the viscosity solution to a system of variational inequalities.
We study the existence of a solution for a one-dimensional generalized backward stochastic differential equation with two reflecting barriers (GRBSDE for short) under assumptions on the input data which are weaker than that on the current literature. In particular, we construct a maximal solution for such a GRBSDE when the terminal condition xi is only F_T-measurable and the driver f is continuous with general growth with respect to the variable y and stochastic quadratic growth with respect to the variable z without assuming any P-integrability conditions. The work is suggested by the interest the results might have in Dynkin game problem and American game option.
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