3 papers
math.PR2017
Quadratic BSDEs with mean reflection
Hélène Hibon, Ying Hu, Yiqing Lin +2
The present paper is devoted to the study of the well-posedness of BSDEs with mean reflection whenever the generator has quadratic growth in the argument. This work is the sequ…
math.PR2017
Reflected stochastic differential equations driven by -Brownian motion in non-convex domains
Yiqing Lin, Abdoulaye Soumana Hima
In this paper, we first review the penalization method for solving deterministic Skorokhod problems in non-convex domains and establish estimates for problems with -Hölder conti…
math.PR2016
Quadratic backward stochastic differential equations driven by -Brownian motion: discrete solutions and approximation
Ying Hu, Yiqing Lin, Abdoulaye Soumana Hima
In this paper, we consider backward stochastic differential equations driven by -Brownian motion (GBSDEs) under quadratic assumptions on coefficients. We prove the existence and…