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Reflected Backward Stochastic Differential Equations with Continuous Coefficient and L^2 Barriers

Authors :
Ji, Shaolin
Wu, Zhen
Zhou, Li
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

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.0807.2075
Document Type :
Working Paper