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.

引用

页码：1698 / 1719

页数：22

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