Related papers: Reflected BSDE with quadratic growth and unbounded…

The principal objects studied in this note are Coxeter groups $W$ that are neither finite nor affine. A well known result of de la Harpe asserts that such groups have exponential growth. We consider quotients of $W$ by its parabolic…

In this note, we prove the Freidlin-Wentzell's large deviation principle for BSDEs with one-sided reflection.

This paper proves the existence and uniqueness of a solution to doubly reflected backward stochastic differential equations where the coefficient is stochastic Lipschitz, by means of the penalization method.

In the first part of this paper we give a solution for the one-dimensional reflected backward stochastic differential equation (BSDE for short) when the noise is driven by a Brownian motion and an independent Poisson point process. The…

We study Backward Stochastic Differential Equations on a probability space equipped with a Brownian filtration. We assume that the terminal value and the generator at zero are merely integrable. Moreover, the generator is assumed to be…

We consider backward stochastic differential equations with drivers of quadratic growth (qgBSDE). We prove several statements concerning path regularity and stochastic smoothness of the solution processes of the qgBSDE, in particular we…

The problem of finding a martingale on a manifold with a fixed random terminal value can be solved by considering BSDEs with a generator with quadratic growth. We study here a generalization of these equations and we give uniqueness and…

In the first part of the paper, we study reflected backward stochastic differential equations (RBSDEs) with lower obstacle which is assumed to be right upper-semicontinuous but not necessarily right-continuous. We prove existence and…

This paper is devoted to proving a general invariant representation theorem for generators of general time interval backward stochastic differential equations, where the generator $g$ has a quadratic growth in the unknown variable $z$ and…

We prove well-posedness results for backward stochastic differential equations (BSDEs) and reflected BSDEs with an optional obstacle process in the case of appropriately weighted $\mathbb{L}^2$-data when the generator is integrated with…

This paper aims at solving a one-dimensional backward stochastic differential equation (BSDE for short) with only integrable parameters. We first establish the existence of a minimal $L^1$ solution for the BSDE when the generator $g$ is…

In this paper, we study the stability and convergence of some general quadratic semimartingales. Motivated by financial applications, we study simultaneously the semimartingale and its opposite. Their characterization and integrability…

This paper shows that penalized backward stochastic differential equation (BSDE), which is often used to approximate and solve the corresponding reflected BSDE, admits both optimal stopping representation and optimal control representation.…

Using probabilistic methods, we establish a-priori estimates for two classes of quasilinear parabolic systems of partial differential equations (PDEs). We treat in particular the case of a nonlinearity which has quadratic growth in the…

The dynamic concave utility (or the dynamic convex risk measure) of an unbounded endowment is studied and represented as the value process in the unique solution of a backward stochastic differential equation (BSDE) with an unbounded…

We study mean-field doubly reflected BSDEs. First, using the fixed point method, we show existence and uniqueness of the solution when the data which define the BSDE are $p$-integrable with $p=1$ or $p>1$. The two cases are treated…

Let $R$ be a Hecke solution to the Yang-Baxter equation and $K$ be a reflection equation matrix with coefficients in an associative algebra $\A$. Let $R(x)$ be the baxterization of $R$ and suppose that $K$ satisfies a polynomial equation…

In [4], the existence of the solution is proved for a scalar linearly growing backward stochastic differential equation (BSDE) if the terminal value is $L\exp{\left(\mu \sqrt{2\log{(1+L)}}\,\right)}$-integrable with the positive parameter…

In that paper, we provide a new characterization of the solutions of specific reflected backward stochastic differential equations (or RBSDEs) whose driver $g$ is convex and has quadratic growth in its second variable: this is done by…

Manifolds with infinite cylindrical ends have continuous spectrum of increasing multiplicity as energy grows, and in general embedded resonances (resonances on the real line, embedded in the continuous spectrum) and embedded eigenvalues can…