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Paper detail

Stochastic Quadratic BSDE With Two RCLL Obstacles

We study the problem of existence of solutions for generalized backward stochastic differential equation with two reflecting barriers (GRBSDE for short) under weaker assumptions on the data. Roughly speaking we show the existence of a maximal solution for GRBSDE when the terminal condition ξis F_T-measurable, the coefficient f is continuous with general growth with respect to the variable y and stochastic quadratic growth with respect to the variable z and the reflecting barriers L and U are just right continuous left limited. The result is proved without assuming any P-integrability conditions.

preprint2011arXivOpen access
E. H. EssakyM. HassaniY. Ouknine
math.PR
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E. H. EssakyM. HassaniY. Ouknine

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