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
收藏
页码：347 / 354
页数：8
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