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Concave generator 1 Legendre–Fenchel duality 1 Obstacle problems for semi-linear parabolic PDEs 1 Optimal stopping problems for quadratic g-evaluations 1 Quadratic reflected backward stochastic differential equations 1 Stability 1 Viscosity solutions 1 θ-difference method 1
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Bayraktar, Erhan 1 Yao, Song 1
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Stochastic Processes and their Applications 1
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Quadratic reflected BSDEs with unbounded obstacles
Bayraktar, Erhan; Yao, Song - In: Stochastic Processes and their Applications 122 (2012) 4, pp. 1155-1203
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,...
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