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Some results on general quadratic reflected BSDEs driven by a continuous martingale
Authors:Arnaud Lionnet
Institution:Oxford-Man Institute, University of Oxford, UK; Mathematical Institute, University of Oxford, UK
Abstract:We study the well-posedness of general reflected BSDEs driven by a continuous martingale, when the coefficient ff of the driver has at most quadratic growth in the control variable ZZ, with a bounded terminal condition and a lower obstacle which is bounded above. We obtain the basic results in this setting: comparison and uniqueness, existence, stability. For the comparison theorem and the special comparison theorem for reflected BSDEs (which allows one to compare the increasing processes of two solutions), we give intrinsic proofs which do not rely on the comparison theorem for standard BSDEs. This allows to obtain the special comparison theorem under minimal assumptions. We obtain existence by using the fixed point theorem and then a series of perturbations, first in the case where ff is Lipschitz in the primary variable YY, and then in the case where ff can have slightly-superlinear growth and the case where ff is monotonous in YY with arbitrary growth. We also obtain a local Lipschitz estimate in BMOBMO for the martingale part of the solution.
Keywords:60H10  60H30
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