Article ID Journal Published Year Pages File Type
10525953 Statistics & Probability Letters 2005 9 Pages PDF
Abstract
In this paper, we consider BSDEs with a Lipschitz coefficient reflected on one discontinuous (r.c.l.l.) barrier. We prove the convergence of the solutions of the penalized equations to the solution of the RBSDE.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
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