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Solving the double barrier reflected BSDEs via penalization method

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  • Li, Min
  • Shi, Yufeng

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.

Suggested Citation

  • Li, Min & Shi, Yufeng, 2016. "Solving the double barrier reflected BSDEs via penalization method," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 74-83.
    • Handle: RePEc:eee:stapro:v:110:y:2016:i:c:p:74-83
    DOI: 10.1016/j.spl.2015.12.003
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    References listed on IDEAS

    as
    1. Bahlali, Khaled & Hamadène, SaI¨d & Mezerdi, Brahim, 2005. "Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient," Stochastic Processes and their Applications, Elsevier, vol. 115(7), pages 1107-1129, July.
    2. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
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