کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155466 | 958731 | 2015 | 43 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Stochastic quadratic BSDE with two RCLL obstacles
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Stochastic quadratic BSDE with two RCLL obstacles Stochastic quadratic BSDE with two RCLL obstacles](/preview/png/1155466.png)
چکیده انگلیسی
We study the problem of existence of solutions for generalized backward stochastic differential equation with two reflecting barriers (GRBSDE for short) under weaker assumptions on the data. Roughly speaking we show the existence of a maximal solution for GRBSDE when the terminal condition ξ is FT-measurable, the coefficient f is continuous with general growth with respect to the variable y and stochastic quadratic growth with respect to the variable z and the reflecting barriers L and U are just right continuous with left limits. The result is proved without assuming any P-integrability conditions on the terminal data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 125, Issue 6, June 2015, Pages 2147-2189
Journal: Stochastic Processes and their Applications - Volume 125, Issue 6, June 2015, Pages 2147-2189
نویسندگان
E.H. Essaky, M. Hassani, Y. Ouknine,