Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier

Xiaoming Xu

Statistics & Probability Letters, 2012, vol. 82, issue 6, 1185-1192

Abstract: Generalized anticipated backward stochastic differential equations, studied for the first time in 2007, are equations with generator f depending on the future value of the solution (Y⋅,Z⋅). In this paper, we will study the existence and uniqueness of the reflected solutions to these equations, and as an application we solve a type of reflected equations with functional barrier.

Keywords: Generalized anticipated backward stochastic differential equation; Functional barrier; Reflected solution (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:82:y:2012:i:6:p:1185-1192

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DOI: 10.1016/j.spl.2012.02.017

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