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

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