Existence and uniqueness of solutions for multi-dimensional reflected BSDEs with diagonally quadratic generators
Probability
2021-11-16 v1
Abstract
In this paper, we study multi-dimensional reflected backward stochastic differential equations with diagonally quadratic generators. Using the comparison theorem for diagonally quadratic BSDEs which is established recently in [14], we obtain the existence and uniqueness of a solution by a penalization method. Moreover, we provide a comparison theorem.
Keywords
Cite
@article{arxiv.2111.07245,
title = {Existence and uniqueness of solutions for multi-dimensional reflected BSDEs with diagonally quadratic generators},
author = {Yuyang Chen and Peng Luo},
journal= {arXiv preprint arXiv:2111.07245},
year = {2021}
}