Article ID Journal Published Year Pages File Type
4669160 Bulletin des Sciences Mathématiques 2013 11 Pages PDF
Abstract

The aim of this paper is to characterize the Snell envelope of a given P-measurable process l:=(lt)0⩽t⩽T as the minimal solution of some backward stochastic differential equation with lower general reflecting barriers and to prove that this minimal solution exists.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)