Reflected forward-backward stochastic differential equations with continuous monotone coefficients

Zongyuan Huang, Jean-Pierre Lepeltier and Zhen Wu

Statistics & Probability Letters, 2010, vol. 80, issue 21-22, 1569-1576

Abstract: In this work, we prove that there exists at least one solution for the reflected forward-backward stochastic differential equations satisfying the obstacle constraint with continuous monotone coefficients. The distinct character of our result is that the coefficient of the forward SDEs contains the solution variable of the reflected BSDEs.

Keywords: Forward-backward; stochastic; differential; equation; Obstacle; constraint; Reflection; Increasing; process (search for similar items in EconPapers)
Date: 2010
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