Skorohod Equation and Reflected Backward Stochastic Differential Equations

Details Skorohod Equation and Reflected Backward Stochastic Differential Equations Skorohod Equation and Reflected Backward Stochastic Differential Equations

2011-03-10

arxiv.org/abs/1103.2078v1

Mathematics

Probability

Scientific paper

By using the Skorohod equation we derive an iteration procedure which allows
us to solve a class of reflected backward stochastic differential equations
with non-linear resistance induced by the reflected local time. In particular,
we present a new method to study the reflected BSDE proposed first by El Karoui
et al. \cite{MR1434123}.

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