Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1144793 | Journal of the Korean Statistical Society | 2013 | 10 Pages |
Abstract
This paper aims at solving infinite horizon reflected backward stochastic differential equations (RBSDEs) under weak assumptions. We obtain a more general existence and uniqueness theorem about the solutions to RBSDEs with non-Lipschitz generators.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Weiwei Hua, Long Jiang, Xuejun Shi,