Double barrier reflected BSDEs with stochastic Lipschitz coefficient
Probability
2018-01-04 v1
Abstract
This paper proves the existence and uniqueness of a solution to doubly reflected backward stochastic differential equations where the coefficient is stochastic Lipschitz, by means of the penalization method.
Keywords
Cite
@article{arxiv.1801.01016,
title = {Double barrier reflected BSDEs with stochastic Lipschitz coefficient},
author = {Mohamed Marzougue and Mohamed El Otmani},
journal= {arXiv preprint arXiv:1801.01016},
year = {2018}
}
Comments
Published at https://doi.org/10.15559/17-VMSTA90 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)