A generalized existence theorem of reflected BSDEs with double obstacles

Shiqiu Zheng and Shengwu Zhou

Statistics & Probability Letters, 2008, vol. 78, issue 5, 528-536

Abstract: This paper proves the existence of solutions of one-dimensional reflected backward stochastic differential equations with double obstacles, where the coefficient (or generator) g(t,y,z) is left-Lipschitz in y (may be discontinuous) and Lipschitz in z.

Keywords: Reflected; backward; stochastic; differential; equation; Generator; Comparison; theorem (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (3)

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