Backward stochastic differential equations with reflection and weak assumptions on the coefficients

Mingyu Xu

Stochastic Processes and their Applications, 2008, vol. 118, issue 6, 968-980

Abstract: In this paper, we study reflected BSDE's with one continuous barrier, under monotonicity and general increasing conditions in y and non-Lipschitz conditions in z. We prove the existence and uniqueness of a solution by an approximation method.

Keywords: Reflected; backward; stochastic; differential; equation; Monotonicity; Non-Lipschitz; condition; Quadratic; increasing; Linear; increasing (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

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