Backward stochastic differential equations with reflection and weak assumptions on the coefficients

DOI10.1016/j.spa.2007.07.004zbMath1139.60325OpenAlexW2074019980MaRDI QIDQ927921

Mingyu Xu

Publication date: 10 June 2008

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.07.004

zbMATH Keywords

monotonicityreflected backward stochastic differential equationnon-Lipschitz conditionlinear increasingquadratic increasing

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (10)

Some results on general quadratic reflected BSDEs driven by a continuous martingale ⋮ Reflected backward stochastic differential equations with resistance ⋮ Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type ⋮ Quadratic reflected BSDEs and related obstacle problems for PDEs ⋮ Stochastic variational inequality and reflected BSDE with single \(L^2\) obstacle ⋮ Multi-dimensional backward stochastic differential equations with one reflecting lower barrier of Itô diffusion type ⋮ Existence and uniqueness of solutions for multi-dimensional reflected backward stochastic differential equations with diagonally quadratic generators ⋮ Reflected backward stochastic differential equations with two barriers and Dynkin games under Knightian uncertainty ⋮ \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions ⋮ Infinite time interval RBSDEs with non-Lipschitz coefficients

Cites Work

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• Adapted solution of a backward stochastic differential equation
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected solutions of backward stochastic differential equations with continuous coefficient
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• \(L^p\) solutions of backward stochastic differential equations.
• Existence for BSDE with superlinear–quadratic coefficient
• Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions

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