Reflected Quadratic BSDEs driven by $G$-Brownian Motions
Probability
2019-06-19 v2
Abstract
In this paper, we consider a reflected backward stochastic differential equation driven by a -Brownian motion (-BSDE), with the generator growing quadratically in the second unknown. We obtain the existence by the penalty method, and a priori estimates which implies the uniqueness, for solutions of the -BSDE. Moreover, focusing our discussion at the Markovian setting, we give a nonlinear Feynman-Kac formula for solutions of a fully nonlinear partial differential equation.
Keywords
Cite
@article{arxiv.1906.00583,
title = {Reflected Quadratic BSDEs driven by $G$-Brownian Motions},
author = {Dong Cao and Shanjian Tang},
journal= {arXiv preprint arXiv:1906.00583},
year = {2019}
}