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

Yuyang Chen; Peng Luo

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arXiv · 2111.07245

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

Yuyang Chen·Peng Luo

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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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BibTeX RIS

Yuyang Chen, Peng Luo. 2021-11-14. Existence and uniqueness of solutions for multi-dimensional reflected BSDEs with diagonally quadratic generators. https://arxiv.org/abs/2111.07245

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