Pertubative method for quadratic reflected backward stochastic differential equations

Stochastic Analysis Seminar Series

In this talk, after presenting backward stochastic differential equations (BSDEs) and one of their variants, the reflected BSDEs, I will present a perturbative method for studying them. This allows to deal with the case where the coefficients of the imposed drift has a growth in the z variable which is at most quadratic, and where the terminal condition and lower obstacle are bounded, similar to what was done by Kobylanksi in 1997. This method allows to prove the existence of a solution. I will also provide the usual comparison theorem and a new proof for a refined comparison theorem, specific to RBSDEs.


Arnaud Lionnet (University of Oxford)

Monday, January 16, 2012 - 15:45
to 16:45