Reflected solutions of backward stochastic differential equations with continuous coefficient

被引：50

作者：

Matoussi, A ^{[1
]}

机构：

[1] UNIV MAINE,LAB STAT & PROC,F-72017 LE MANS,FRANCE

来源：

STATISTICS & PROBABILITY LETTERS | 1997年 / 34卷 / 04期

关键词：

backwards SDEs;

D O I：

10.1016/S0167-7152(96)00202-7

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 prove the existence of a reflected solution of one-dimensional backward stochastic differential equations with continuous and linear growth coefficient and squared integrable terminal condition.

引用

页码：347 / 354

页数：8

共 50 条

[21] General Mean Reflected Backward Stochastic Differential Equations
Hu, Ying
Moreau, Remi
Wang, Falei
JOURNAL OF THEORETICAL PROBABILITY, 2024, 37 (01) : 877 - 904
[22] Reflected backward stochastic differential equations driven by countable Brownian motions with continuous coefficients
Owo, Jean-Marc
ELECTRONIC COMMUNICATIONS IN PROBABILITY, 2015, 20 : 1 - 11
[23] Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
Xu, Mingyu
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2011, 236 (06) : 1137 - 1154
[24] Reflected backward stochastic differential equation with locally monotone coefficient
Bahlali, K
Essaky, EH
Ouknine, Y
STOCHASTIC ANALYSIS AND APPLICATIONS, 2004, 22 (04) : 939 - 970
[25] Reflected solutions of backward stochastic differential equations driven by G-Brownian motion
Li, Hanwu
Peng, Shige
Hima, Abdoulaye Soumana
SCIENCE CHINA-MATHEMATICS, 2018, 61 (01) : 1 - 26
[26] Reflected solutions of backward stochastic differential equations driven by G-Brownian motion
Hanwu Li
Shige Peng
Abdoulaye Soumana Hima
Science China(Mathematics), 2018, 61 (01) : 1 - 26
[27] Reflected solutions of backward stochastic differential equations driven by G-Brownian motion
Hanwu Li
Shige Peng
Abdoulaye Soumana Hima
Science China Mathematics, 2018, 61 : 1 - 26
[28] Reflected backward doubly stochastic differential equations with discontinuous coefficients
Zhi Li
Jiao Wan Luo
Acta Mathematica Sinica, English Series, 2013, 29 : 639 - 650
[29] Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
Bahlali, K
Hamadène, S
Mezerdi, B
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2005, 115 (07) : 1107 - 1129
[30] Reflected backward stochastic partial differential equations in a convex domain
Yang, Xue
Zhang, Qi
Zhang, Tusheng
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2020, 130 (10) : 6038 - 6063

← 1 2 3 4 5 →