Backward stochastic differential equations with oblique reflection and local Lipschitz drift (Q1430558): Difference between revisions
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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 |
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Backward stochastic differential equations with oblique reflection and local Lipschitz drift (English)
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27 May 2004
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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.
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backward stochastic differential equations
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oblique reflection
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Brownian motion
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