Backward stochastic differential equations with oblique reflection and local Lipschitz drift (Q1430558)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 2067319
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Backward stochastic differential equations with oblique reflection and local Lipschitz drift |
scientific article; zbMATH DE number 2067319 |
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
0.8738328218460083
0 references
0.8734706044197083
0 references
0.870447039604187
0 references
0.8621078133583069
0 references
