Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis (Q616310): Difference between revisions
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Revision as of 22:59, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis |
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Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis (English)
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7 January 2011
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Local existence and uniqueness results are provided for backward stochastic differential equations with two reflecting barriers that are right continuous with left limits (rcll), under conditions more general than before. These are strengthened to global existence and uniqueness when the barriers are completely separated.
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backward stochastic differential equations
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reflecting barriers
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