Reflected and Doubly Reflected Backward Stochastic Differential Equations with Time-Delayed Generators

被引：0

作者：

Monia Karouf

机构：

[1] Gabès University,Higher Institute of Applied Sciences and Technologies of Gabès & LR17ES11

来源：

Journal of Theoretical Probability | 2019年 / 32卷

关键词：

Backward stochastic differential equation; Time-delayed generator; Poisson point process; Mokobodski’s hypothesis; Fixed point theorem; Comparison theorem; 34K12; 60H10; 60H20; 60G40; 60G55; 60G57;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

In this paper, we study reflected backward stochastic differential equations with two reflecting barriers and time-delayed generators (delay RBSDEs for short). We consider the case of Brownian noise as well as the case of Brownian and Poisson noise. For both cases, we show the existence and uniqueness of the solution and give a comparison theorem.

引用

页码：216 / 248

页数：32

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