Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4669160 | Bulletin des Sciences Mathématiques | 2013 | 11 Pages |
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)