Reflected forward-backward stochastic differential equations with continuous monotone coefficients
In this work, we prove that there exists at least one solution for the reflected forward-backward stochastic differential equations satisfying the obstacle constraint with continuous monotone coefficients. The distinct character of our result is that the coefficient of the forward SDEs contains the solution variable of the reflected BSDEs.
Year of publication: |
2010
|
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Authors: | Huang, Zongyuan ; Lepeltier, Jean-Pierre ; Wu, Zhen |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 21-22, p. 1569-1576
|
Publisher: |
Elsevier |
Keywords: | Forward-backward stochastic differential equation Obstacle constraint Reflection Increasing process |
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