Reflected BSDE with stochastic Lipschitz coefficient

Details Reflected BSDE with stochastic Lipschitz coefficient Reflected BSDE with stochastic Lipschitz coefficient

2009-12-11

arxiv.org/abs/0912.2162v3

Mathematics

Probability

12 pages without figure

Scientific paper

In this paper, we deal with a class of one-dimensional reflected backward
stochastic differential equations with stochastic Lipschitz coefficient. We
derive the existence and uniqueness of the solutions for those equations via
Snell envelope and the fixed point theorem.

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