Reflected BSDEs with time-delayed generators and nonlinear resistance

Peng Luo

Statistics & Probability Letters, 2020, vol. 163, issue C

Abstract: We consider a time-delayed backward stochastic differential equation constrained above a given continuous barrier and having an additional resistance term in the generator. Existence and uniqueness results are provided on a small time horizon. We also provide a stability result with respect to the delay measure.

Keywords: Reflected BSDEs; Time-delayed generators; Nonlinear resistance (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108765

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