Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527263 | Stochastic Processes and their Applications | 2012 | 49 Pages |
Abstract
In this paper, we analyze a real-valued reflected backward stochastic differential equation (RBSDE) with an unbounded obstacle and an unbounded terminal condition when its generator f has quadratic growth in the z-variable. In particular, we obtain existence, uniqueness, and stability results, and consider the optimal stopping for quadratic g-evaluations. As an application of our results we analyze the obstacle problem for semi-linear parabolic PDEs in which the non-linearity appears as the square of the gradient. Finally, we prove a comparison theorem for these obstacle problems when the generator is concave in the z-variable.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Erhan Bayraktar, Song Yao,