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Reflected Backward Stochastic Differential Equations with Continuous Coefficient and L^2 Barriers
- Publication Year :
- 2008
-
Abstract
- In this paper we study reflected backward stochastic differential equations with a continuous, linear growth coefficient and two barriers which belong to L^2. We prove that there exists at least by penalization method.<br />Comment: 10 pages
- Subjects :
- Mathematics - Probability
60H10
60H30
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.0807.2075
- Document Type :
- Working Paper