Reflected solutions of backward stochastic differential equations with continuous coefficient (Q1365170)
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scientific article; zbMATH DE number 1054084
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| English | Reflected solutions of backward stochastic differential equations with continuous coefficient |
scientific article; zbMATH DE number 1054084 |
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Reflected solutions of backward stochastic differential equations with continuous coefficient (English)
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28 August 1997
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It is proved that a solution \((Y_t, Z_t, K_t)\) exists for the reflected backward stochastic equation \[ Y_t= \xi+ \int^T_t f(s,\omega,Y_s,Z_s) ds+K_T -K_t-\int^T_t Z_sdB_s, \quad 0 \leq t\leq T, \] where \(B_t\) is a \(d\)-dimensional standard Brownian motion.
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backward stochastic equation
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Brownian motion
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0.8737882375717163
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0.8687402009963989
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0.868310272693634
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0.8617862462997437
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