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Solving the double barrier reflected BSDEs via penalization method.
- Source :
-
Statistics & Probability Letters . Mar2016, Vol. 110, p74-83. 10p. - Publication Year :
- 2016
-
Abstract
- In this paper, under a sufficient and necessary condition, we prove that the double barrier reflected BSDE has a unique square-integrable adapted solution via penalization method. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 01677152
- Volume :
- 110
- Database :
- Academic Search Index
- Journal :
- Statistics & Probability Letters
- Publication Type :
- Periodical
- Accession number :
- 113868128
- Full Text :
- https://doi.org/10.1016/j.spl.2015.12.003