Existence and Uniqueness of Solutions for Multi-dimensional Reflected Backward Stochastic Differential Equations with Diagonally Quadratic Generators

被引：0
|
作者：
Chen, Yuyang [1 ]
Luo, Peng [1 ]
机构：
[1] Shanghai Jiao Tong Univ, Sch Math Sci, Shanghai, Peoples R China
来源：
JOURNAL OF THEORETICAL PROBABILITY | 2023年 / 36卷 / 03期
基金：
中国国家自然科学基金;
关键词：
Reflected BSDEs; Diagonally quadratic generators; BMO martingales; Comparison theorem;
D O I：
10.1007/s10959-022-01224-7
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we study multi-dimensional reflected backward stochastic differential equations (BSDEs) with diagonally quadratic generators. Using the comparison theorem for diagonally quadratic BSDEs established recently in Luo (Disc Contin Dyn Syst 41(6):2543-2557, 2021), we obtain the existence and uniqueness of a solution by a penalization method. Moreover, we provide a comparison theorem.
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页码：1698 / 1719
页数：22
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