Reflected solutions of backward stochastic differential equations with continuous coefficient

被引：51

作者：

Matoussi, A ^{[1
]}

机构：

[1] UNIV MAINE,LAB STAT & PROC,F-72017 LE MANS,FRANCE

来源：

STATISTICS & PROBABILITY LETTERS | 1997年 / 34卷 / 04期

关键词：

backwards SDEs;

D O I：

10.1016/S0167-7152(96)00202-7

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We prove the existence of a reflected solution of one-dimensional backward stochastic differential equations with continuous and linear growth coefficient and squared integrable terminal condition.

引用

页码：347 / 354

页数：8

共 50 条

[31] Reflected backward stochastic partial differential equations in a convex domain
Yang, Xue
Zhang, Qi
Zhang, Tusheng
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2020, 130 (10) : 6038 - 6063
[32] Reflected backward doubly stochastic differential equations with discontinuous generator
Aman, Auguste
Owo, Jean Marc
RANDOM OPERATORS AND STOCHASTIC EQUATIONS, 2012, 20 (02) : 119 - 134
[33] REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A LEVY PROCESS
Ren, Yong
Fan, Xeliang
ANZIAM JOURNAL, 2009, 50 (04): : 486 - 500
[34] MEAN-FIELD REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
Djehiche, Boualem
Elie, Romuald
Hamadene, Said
ANNALS OF APPLIED PROBABILITY, 2023, 33 (04): : 2493 - 2518
[35] Dynamic programming approach to reflected backward stochastic differential equations
Hun, O.
Kim, Mun-Chol
Kim, Kon-Gun
ELECTRONIC JOURNAL OF PROBABILITY, 2023, 28
[36] Reflected Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients
Zhi LI
Jiao Wan LUO
Acta Mathematica Sinica, 2013, 29 (04) : 639 - 650
[37] Reflected Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients
Zhi LI
Jiao Wan LUO
Acta Mathematica Sinica,English Series, 2013, (04) : 639 - 650
[38] Reflected backward doubly stochastic differential equations with discontinuous coefficients
Li, Zhi
Luo, Jiao Wan
ACTA MATHEMATICA SINICA-ENGLISH SERIES, 2013, 29 (04) : 639 - 650
[39] Reflected backward stochastic differential equations with time delayed generators
Zhou, Qing
Ren, Yong
STATISTICS & PROBABILITY LETTERS, 2012, 82 (05) : 979 - 990
[40] Doubly Reflected Backward Stochastic Differential Equations in the Predictable Setting
Arharas, Ihsan
Bouhadou, Siham
Ouknine, Youssef
JOURNAL OF THEORETICAL PROBABILITY, 2022, 35 (01) : 115 - 141

← 1 2 3 4 5 →