General Existence Results for Reflected BSDE and BSDE

Mathematics – Probability

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

23 pages

Scientific paper

In this paper, we are concerned with the problem of existence of solutions for generalized reflected backward stochastic differential equations (GRBSDEs for short) and generalized backward stochastic differential equations (GBSDEs for short) when the generator $fds + gdA_s$ is continuous with general growth with respect to the variable $y$ and stochastic quadratic growth with respect to the variable $z$. We deal with the case of a bounded terminal condition $\xi$ and a bounded barrier $L$ as well as the case of unbounded ones. This is done by using the notion of generalized BSDEs with two reflecting barriers studied in \cite{EH}. The work is suggested by the interest the results might have in finance, control and game theory.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

General Existence Results for Reflected BSDE and BSDE does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with General Existence Results for Reflected BSDE and BSDE, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and General Existence Results for Reflected BSDE and BSDE will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-30894

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.