Article ID Journal Published Year Pages File Type
1153415 Statistics & Probability Letters 2008 9 Pages PDF
Abstract

This paper proves the existence of solutions of one-dimensional reflected backward stochastic differential equations with double obstacles, where the coefficient (or generator) g(t,y,z)g(t,y,z) is left-Lipschitz in yy (may be discontinuous) and Lipschitz in zz.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
A generalized existence theorem of reflected BSDEs with double obstacles
Authors
, ,