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Stochastic quadratic BSDE with two RCLL obstacles

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  • Essaky, E.H.
  • Hassani, M.
  • Ouknine, Y.

Abstract

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 ξ is FT-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 with left limits. The result is proved without assuming any P-integrability conditions on the terminal data.

Suggested Citation

  • Essaky, E.H. & Hassani, M. & Ouknine, Y., 2015. "Stochastic quadratic BSDE with two RCLL obstacles," Stochastic Processes and their Applications, Elsevier, vol. 125(6), pages 2147-2189.
    • Handle: RePEc:eee:spapps:v:125:y:2015:i:6:p:2147-2189
    DOI: 10.1016/j.spa.2014.12.009
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    References listed on IDEAS

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    1. Lepeltier, J. P. & San Martin, J., 1997. "Backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 32(4), pages 425-430, April.
    2. Bahlali, Khaled & Hamadène, SaI¨d & Mezerdi, Brahim, 2005. "Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient," Stochastic Processes and their Applications, Elsevier, vol. 115(7), pages 1107-1129, July.
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    Cited by:

    1. Essaky, E.H. & Hassani, M. & Rhazlane, C.E., 2023. "Doubly reflected BSDEs with stochastic quadratic growth: Around the predictable obstacles," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 473-497.
    2. Anna Aksamit & Libo Li & Marek Rutkowski, 2021. "Generalized BSDEs with random time horizon in a progressively enlarged filtration," Papers 2105.06654, arXiv.org.
    3. Libo Li & Ruyi Liu & Marek Rutkowski, 2022. "Well-posedness and penalization schemes for generalized BSDEs and reflected generalized BSDEs," Papers 2212.12854, arXiv.org.

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