IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v118y2008i6p968-980.html
   My bibliography  Save this article

Backward stochastic differential equations with reflection and weak assumptions on the coefficients

Author

Listed:
  • Xu, Mingyu

Abstract

In this paper, we study reflected BSDE's with one continuous barrier, under monotonicity and general increasing conditions in y and non-Lipschitz conditions in z. We prove the existence and uniqueness of a solution by an approximation method.

Suggested Citation

  • Xu, Mingyu, 2008. "Backward stochastic differential equations with reflection and weak assumptions on the coefficients," Stochastic Processes and their Applications, Elsevier, vol. 118(6), pages 968-980, June.
  • Handle: RePEc:eee:spapps:v:118:y:2008:i:6:p:968-980
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(07)00117-2
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Matoussi, Anis, 1997. "Reflected solutions of backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 34(4), pages 347-354, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yuyang Chen & Peng Luo, 2023. "Existence and Uniqueness of Solutions for Multi-dimensional Reflected Backward Stochastic Differential Equations with Diagonally Quadratic Generators," Journal of Theoretical Probability, Springer, vol. 36(3), pages 1698-1719, September.
    2. Lionnet, Arnaud, 2014. "Some results on general quadratic reflected BSDEs driven by a continuous martingale," Stochastic Processes and their Applications, Elsevier, vol. 124(3), pages 1275-1302.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Auguste Aman, 2012. "Reflected Generalized Backward Doubly SDEs Driven by Lévy Processes and Applications," Journal of Theoretical Probability, Springer, vol. 25(4), pages 1153-1172, December.
    2. Choukroun, Sébastien & Cosso, Andrea & Pham, Huyên, 2015. "Reflected BSDEs with nonpositive jumps, and controller-and-stopper games," Stochastic Processes and their Applications, Elsevier, vol. 125(2), pages 597-633.
    3. Bayraktar, Erhan & Yao, Song, 2012. "Quadratic reflected BSDEs with unbounded obstacles," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1155-1203.
    4. Ren, Yong & Hu, Lanying, 2007. "Reflected backward stochastic differential equations driven by Lévy processes," Statistics & Probability Letters, Elsevier, vol. 77(15), pages 1559-1566, September.
    5. Huang, Zongyuan & Lepeltier, Jean-Pierre & Wu, Zhen, 2010. "Reflected forward-backward stochastic differential equations with continuous monotone coefficients," Statistics & Probability Letters, Elsevier, vol. 80(21-22), pages 1569-1576, November.
    6. Nie, Tianyang & Rutkowski, Marek, 2014. "Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection," Stochastic Processes and their Applications, Elsevier, vol. 124(8), pages 2672-2698.
    7. Yuyang Chen & Peng Luo, 2023. "Existence and Uniqueness of Solutions for Multi-dimensional Reflected Backward Stochastic Differential Equations with Diagonally Quadratic Generators," Journal of Theoretical Probability, Springer, vol. 36(3), pages 1698-1719, September.
    8. Zheng, Shiqiu & Zhou, Shengwu, 2008. "A generalized existence theorem of reflected BSDEs with double obstacles," Statistics & Probability Letters, Elsevier, vol. 78(5), pages 528-536, April.
    9. Li, Hanwu & Peng, Shige & Soumana Hima, Abdoulaye, 2018. "Reflected Solutions of BSDEs Driven by $\textit{G}$-Brownian Motion," Center for Mathematical Economics Working Papers 590, Center for Mathematical Economics, Bielefeld University.
    10. P. Marín-Rubio & J. Real, 2004. "Some Results on Stochastic Differential Equations with Reflecting Boundary Conditions," Journal of Theoretical Probability, Springer, vol. 17(3), pages 705-716, July.
    11. Lionnet, Arnaud, 2014. "Some results on general quadratic reflected BSDEs driven by a continuous martingale," Stochastic Processes and their Applications, Elsevier, vol. 124(3), pages 1275-1302.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:118:y:2008:i:6:p:968-980. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.