Doubly reflected backward stochastic differential equations in the predictable setting

DOI10.1007/s10959-020-01070-5zbMath1498.60193arXiv1908.08076OpenAlexW3120899859WikidataQ115382023 ScholiaQ115382023MaRDI QIDQ2116473

Ihsan Arharas, Siham Bouhadou, Youssef Ouknine

Publication date: 17 March 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.08076

zbMATH Keywords

fixed point theoremdoubly reflected backward stochastic differential equationsPicard iteration methodnon-quasi-left continuouspredictable DRBSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

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