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,...

In this paper, we establish an equivalence relationship between the wellposedness of forward–backward SDEs (FBSDEs) with random coefficients and that of backward stochastic PDEs (BSPDEs). Using the notion of the “decoupling random field”, originally observed in the well-known Four Step...

We consider a two-player zero-sum stochastic differential game in which one of the players has a private information on the game. Both players observe each other, so that the non-informed player can try to guess his missing information. Our aim is to quantify the amount of information the...

The contribution of this paper is twofold: we study power utility maximization problems (with and without intermediate consumption) in a partially observed financial market with jumps and we solve by the innovation method the arising filtering problem. We consider a Markovian model where the...