Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient

Khaled Bahlali; Saïd Hamadène; Brahim Mezerdi

doi:10.1016/j.spa.2005.02.005

Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient

Khaled Bahlali^*
, Saïd Hamadène
, Brahim Mezerdi

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

45 Scopus citations

Abstract

We deal with backward stochastic differential equations with two reflecting barriers and a continuous coefficient which is, first, linear growth in (y,z) and then quadratic growth with respect to z. In both cases we show the existence of a maximal solution.

Original language	English
Pages (from-to)	1107-1129
Number of pages	23
Journal	Stochastic Processes and their Applications
Volume	115
Issue number	7
DOIs	https://doi.org/10.1016/j.spa.2005.02.005
State	Published - Jul 2005
Externally published	Yes

Bibliographical note

Funding Information:
A part of this work has been carried out when the first and third authors were visiting the Department of Mathematics, Université du Maine (Le Mans, France). They are grateful for their warm hospitality.

Keywords

Backward SDEs
Reflecting barriers
Risk-sensitive zero-sum stopping game

ASJC Scopus subject areas

Statistics and Probability
Modeling and Simulation
Applied Mathematics

Access to Document

10.1016/j.spa.2005.02.005

Cite this

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title = "Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient",

abstract = "We deal with backward stochastic differential equations with two reflecting barriers and a continuous coefficient which is, first, linear growth in (y,z) and then quadratic growth with respect to z. In both cases we show the existence of a maximal solution.",

keywords = "Backward SDEs, Reflecting barriers, Risk-sensitive zero-sum stopping game",

author = "Khaled Bahlali and Sa{\"i}d Hamad{\`e}ne and Brahim Mezerdi",

note = "Funding Information: A part of this work has been carried out when the first and third authors were visiting the Department of Mathematics, Universit{\'e} du Maine (Le Mans, France). They are grateful for their warm hospitality. ",

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T1 - Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient

AU - Bahlali, Khaled

AU - Hamadène, Saïd

AU - Mezerdi, Brahim

N1 - Funding Information: A part of this work has been carried out when the first and third authors were visiting the Department of Mathematics, Université du Maine (Le Mans, France). They are grateful for their warm hospitality.

PY - 2005/7

Y1 - 2005/7

N2 - We deal with backward stochastic differential equations with two reflecting barriers and a continuous coefficient which is, first, linear growth in (y,z) and then quadratic growth with respect to z. In both cases we show the existence of a maximal solution.

AB - We deal with backward stochastic differential equations with two reflecting barriers and a continuous coefficient which is, first, linear growth in (y,z) and then quadratic growth with respect to z. In both cases we show the existence of a maximal solution.

KW - Backward SDEs

KW - Reflecting barriers

KW - Risk-sensitive zero-sum stopping game

UR - https://www.scopus.com/pages/publications/20344405705

U2 - 10.1016/j.spa.2005.02.005

DO - 10.1016/j.spa.2005.02.005

M3 - Article

AN - SCOPUS:20344405705

SN - 0304-4149

VL - 115

SP - 1107

EP - 1129

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 7

ER -

Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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Cite this