Backward stochastic differential equations with oblique reflection and local Lipschitz drift (Q1430558): Difference between revisions
From MaRDI portal
Created a new Item |
Set OpenAlex properties. |
||
| (2 intermediate revisions by 2 users not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2040922465 / rank | |||
Normal rank | |||
| links / mardi / name | links / mardi / name | ||
Latest revision as of 08:43, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Backward stochastic differential equations with oblique reflection and local Lipschitz drift |
scientific article |
Statements
Backward stochastic differential equations with oblique reflection and local Lipschitz drift (English)
0 references
27 May 2004
0 references
Summary: We consider reflected backward stochastic differential equations with time and space dependent coefficients in an orthant, and with oblique reflection. Existence and uniqueness of solution are established assuming local Lipschitz continuity of the drift, Lipschitz continuity and uniform spectral radius conditions on the reflection matrix.
0 references
backward stochastic differential equations
0 references
oblique reflection
0 references
Brownian motion
0 references
