A comparison theorem for solutions of backward stochastic differential equations with two reflecting barriers and its applications

被引：3

作者：

Zhang, TS ^{[1
]}

机构：

[1] Univ Manchester, Dept Math, Manchester M13 9PL, Lancs, England

来源：

PROBABILISTIC METHODS IN FLUIDS, PROCEEDINGS | 2003年

关键词：

D O I：

10.1142/9789812703989_0021

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this note, we prove a comparison result for the solutions of backward stochastic differential equations with two reflecting barrier processes. The result is then applied to obtain an existence result for solutions of a backward SIDE with reflecting barrier processes under weak assumptions on the coefficients.

引用

页码：324 / 331

页数：8

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