Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator英文文献资料.docVIP

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Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator英文文献资料.doc

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Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator英文文献资料

BACKWARDSTOCHASTICDIFFERENTIALEQUATIONS WITHTWODISTINCTREFLECTINGBARRIERS ANDQUADRATICGROWTHGENERATOR ` S.HAMADENEANDI.HDHIRI Received29June2004;Revised25January2005;Accepted25January2005 Weshowtheexistenceofasolutionforthedouble-barrier re?ectedBSDEwhenthebar- riersarecompletelyseparateandthegeneratoriscontinuouswithquadraticgrowth.As anapplication,wesolvetherisk-sensitivemixedzero-sumstochasticdi?erentialgame.In additionwedealwithrecallableoptionsunderKnightianuncertainty. Copyright?2006S.Hamad`eneandI.Hdhiri. Thisisanopenaccessarticle distributed undertheCreativeCommons Attribution License,whichpermits unrestricted use,dis- tribution,andreproductioninanymedium,providedtheoriginalworkisproperlycited. 1.Introduction Asolution foraBSDE whose generator is f(t,ω,y,z)andterminal valueξ isapairof adaptedprocesses(Yt,Zt)t≤Twhichsatis?es Yt=ξ+ f s,ω,Ys,Zs ds? ZsdBs, t≤T. (1.1) T T t t Theadaptationisrelatedtothenatural?ltrationoftheBrownianmotion(B) . t t≤T In1990, PardouxandPengintroduced thenotion ofnonlinear backward stochastic di?erentialequation(BSDE),namely(1.1),andgaveexistenceanduniqueness resultin theirfounderpaper[26].SincethentheinterestinBSDEshaskeptgrowingsteadilyand there havebeen several works onthat subject. The main reason isthat BSDEs areen- counteredinmany?eldsofmathematicssuchas?nance[6,7,31],stochasticgamesand optimal control [4, 10–12, 14, 15], partial di?erential equations and homogeneization [25,27–29]. Further,othersettingsofBSDEshavebeenintroduced.In[5],El-Karouietal.consider one-barrier re?ectedBSDEs,thatis,thesituationwheretheprocessY of(1.1)isforced tostayaboveagivenbarrier(L) .In(1.1),theyaddanondecreasingcontinuouspro- t t≤T which allows us to have Y ≥L. Their motivations are linked, on the one cess (K) hand,tothepricingofAmerican optionsand,ontheotherhand,toviscosity solutions t t≤T HindawiPublishingCorporation JournalofAppliedMathematicsandStochasticAnalysis Volume2006,ArticleID95818,Pages1–28