Skorohod Equation and Reflected Backward Stochastic Differential Equations
Probability
2011-03-11 v1
Abstract
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}.
Keywords
Cite
@article{arxiv.1103.2078,
title = {Skorohod Equation and Reflected Backward Stochastic Differential Equations},
author = {Zhongmin Qian and Mingyu Xu},
journal= {arXiv preprint arXiv:1103.2078},
year = {2011}
}