Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1153754 | Statistics & Probability Letters | 2010 | 8 Pages |
Abstract
In this work, we prove that there exists at least one solution for the reflected forward-backward stochastic differential equations satisfying the obstacle constraint with continuous monotone coefficients. The distinct character of our result is that the coefficient of the forward SDEs contains the solution variable of the reflected BSDEs.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Zongyuan Huang, Jean-Pierre Lepeltier, Zhen Wu,