Reflected Backward Stochastic Differential Equations with Continuous Coefficient and L^2 Barriers
Probability
2008-07-15 v1
Abstract
In this paper we study reflected backward stochastic differential equations with a continuous, linear growth coefficient and two barriers which belong to L^2. We prove that there exists at least by penalization method.
Keywords
Cite
@article{arxiv.0807.2075,
title = {Reflected Backward Stochastic Differential Equations with Continuous Coefficient and L^2 Barriers},
author = {Shaolin Ji and Zhen Wu and Li Zhou},
journal= {arXiv preprint arXiv:0807.2075},
year = {2008}
}
Comments
10 pages