Reflected BSDEs with time-delayed generators and nonlinear resistance

被引：1
|
作者：
Luo, Peng [1 ,2 ]
机构：
[1] Shanghai Jiao Tong Univ, Sch Math Sci, Shanghai, Peoples R China
[2] Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON, Canada
来源：
STATISTICS & PROBABILITY LETTERS | 2020年 / 163卷
基金：
加拿大自然科学与工程研究理事会;
关键词：
Reflected BSDEs; Time-delayed generators; Nonlinear resistance; STOCHASTIC DIFFERENTIAL-EQUATIONS;
D O I：
10.1016/j.spl.2020.108765
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We consider a time-delayed backward stochastic differential equation constrained above a given continuous barrier and having an additional resistance term in the generator. Existence and uniqueness results are provided on a small time horizon. We also provide a stability result with respect to the delay measure. (C) 2020 Elsevier B.V. All rights reserved.
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页数：8
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