• 제목/요약/키워드: reflected backward stochastic differential equation

검색결과 2건 처리시간 0.019초

REFLECTED BSDE DRIVEN BY A L$\acute{E}$VY PROCESS WITH STOCHASTIC LIPSCHITZ COEFFICIENT

  • Lu, Wen
    • Journal of applied mathematics & informatics
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    • 제28권5_6호
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    • pp.1305-1314
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    • 2010
  • In this paper, we deal with a class of one-dimensional reflected backward stochastic differential equations driven by a Brownian motion and the martingales of Teugels associated with an independent L$\acute{e}$vy process having a stochastic Lipschitz coefficient. We derive the existence and uniqueness of solutions for these equations via Snell envelope and the fixed point theorem.

Lp-SOLUTIONS FOR REFLECTED BSDES WITH TIME DELAYED GENERATORS

  • Zhou, Qing
    • 대한수학회보
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    • 제53권3호
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    • pp.793-819
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    • 2016
  • In this paper, we establish the existence and uniqueness of the solution for a class of reflected backward stochastic differential equations with time delayed generator (RBSDEs with time delayed generator, in short) in the case when the terminal value and the obstacle process are $L^p$-integrable with p ${\in}$]1, 2[ for a sufficiently small Lipschitz constant of the generator and the time horizon T.