Existence and uniqueness of solutions for multi-dimensional reflected BSDEs with diagonally quadratic generators

2021/11/14 by Chen, Yuyang, Luo, Peng
#60H10 (Primary) #60H30 (Secondary) #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2111.07245

Abstract

In this paper, we study multi-dimensional reflected backward stochastic differential equations with diagonally quadratic generators. Using the comparison theorem for diagonally quadratic BSDEs which is established recently in [14], we obtain the existence and uniqueness of a solution by a penalization method. Moreover, we provide a comparison theorem.

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