Reflected backward stochastic differential equations driven by countable Brownian motions with continuous coefficients

被引：1

作者：

Owo, Jean-Marc ^{[1
]}

机构：

[1] Univ Felix Houphouet Boigny, UFR Math & Informat, Abidjan, Cote Ivoire

来源：

ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2015年 / 20卷

关键词：

Backward doubly stochastic differential equations; Countable Brownian Motions; comparison theorem; continuous and linear growth conditions; SPDES;

D O I：

10.1214/ECP.v20-3771

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：

In this note, we study one-dimensional reflected backward stochastic differential equations (RBSDEs) driven by Countable Brownian Motions with one continuous barrier and continuous generators. Via a comparison theorem, we provide the existence of minimal and maximal solutions to this kind of equations.

引用

页码：1 / 11

页数：11

共 50 条

[41] REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH RESISTANCE
Qian, Zhongmin
Xu, Mingyu
ANNALS OF APPLIED PROBABILITY, 2018, 28 (02): : 888 - 911
[42] Backward Euler method for stochastic differential equations with non-Lipschitz coefficients driven by fractional Brownian motion
Hao Zhou
Yaozhong Hu
Yanghui Liu
BIT Numerical Mathematics, 2023, 63
[43] Reflected backward stochastic differential equations in an orthant
Ramasubramanian, S
PROCEEDINGS OF THE INDIAN ACADEMY OF SCIENCES-MATHEMATICAL SCIENCES, 2002, 112 (02): : 347 - 360
[44] Multi-dimensional Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion with Diagonal Generators
Li, Hanwu
Liu, Guomin
JOURNAL OF THEORETICAL PROBABILITY, 2024, 37 (03) : 2615 - 2645
[45] REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH PERTURBATIONS
Djordjevic, Jasmina
Jankovic, Svetlana
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS, 2018, 38 (04) : 1833 - 1848
[46] Obliquely reflected backward stochastic differential equations
Chassagneux, Jean-Francois
Richou, Adrien
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, 2020, 56 (04): : 2868 - 2896
[47] On discretely reflected backward stochastic differential equations
Ventura, Wilber Alexander
Korzeniowski, Andrzej
STOCHASTIC ANALYSIS AND APPLICATIONS, 2016, 34 (01) : 1 - 23
[48] Reflected backward stochastic differential equations in an orthant
S. Ramasubramanian
Proceedings of the Indian Academy of Sciences - Mathematical Sciences, 2002, 112 : 347 - 360
[49] Generalized reflected backward stochastic differential equations
Janczak, K.
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2009, 81 (02) : 147 - 170
[50] A note on the doubly reflected backward stochastic differential equations driven by a Levy process
Fan, Xiliang
Ren, Yong
Zhu, Dongjin
STATISTICS & PROBABILITY LETTERS, 2010, 80 (7-8) : 690 - 696

← 1 2 3 4 5 →