Stochastic variational inequality and reflected BSDE with single \(L^2\) obstacle. (English) Zbl 1283.60096

Sène, Abou; Diakhaby, Aboubakary; Ouknine, Youssef

Afr. Diaspora J. Math. 16, No. 1, 37-54 (2013).

Summary: We characterize the solution of a nonlinear reflected backward stochastic differential equations (BSDE) as the unique solution of a stochastic variational inequality (SVI). This approach leads to a priori estimate for the increment of the predictable component of the solution of the reflected BSDE.

MSC:

60H30	Applications of stochastic analysis (to PDEs, etc.)
60G46	Martingales and classical analysis
60G48	Generalizations of martingales
60E15	Inequalities; stochastic orderings

Keywords:

reflected backward stochastic differential equation; stochastic variational inequality; Snell envelope; \(g\)-expectation; Girsanov nonlinear transformation

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