Reflected Backward SDEs with Two Barriers Under Monotonicity and General Increasing Conditions

Mingyu Xu ()
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Mingyu Xu: Université du Maine

Journal of Theoretical Probability, 2007, vol. 20, issue 4, 1005-1039

Abstract: Abstract In this paper, we prove the existence and uniqueness result of the reflected BSDE with two continuous barriers under monotonicity and general increasing condition on y, with Lipschitz condition on z.

Keywords: Reflected backward stochastic differential equation; Monotonicity condition; Comparison theorem; Dynkin game (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s10959-007-0109-7

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