A generalized existence theorem of reflected BSDEs with double obstacles

DOI10.1016/J.SPL.2007.09.003zbMath1136.60041OpenAlexW2020600836MaRDI QIDQ2482122

Sheng-Wu Zhou, Shi-qiu Zheng

Publication date: 16 April 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.09.003

zbMATH Keywords

generatorcomparison theoremreflected backward stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (5)

Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections ⋮ An existence theorem for multidimensional BSDEs with mixed reflections ⋮ BSDEs with monotone generator and two irregular reflecting barriers ⋮ Double barrier reflected BSDEs with stochastic Lipschitz coefficient ⋮ On the existence of solutions to BSDEs with generalized uniformly continuous generators

Cites Work

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• Backward stochastic differential equations with reflection and Dynkin games
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected solutions of backward stochastic differential equations with continuous coefficient
• Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
• A generalized existence theorem of BSDEs

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