Reflected BSDE with stochastic Lipschitz coefficient
Probability
2015-01-06 v3
Abstract
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.
Keywords
Cite
@article{arxiv.0912.2162,
title = {Reflected BSDE with stochastic Lipschitz coefficient},
author = {Wen Lu},
journal= {arXiv preprint arXiv:0912.2162},
year = {2015}
}
Comments
12 pages without figure