Reflected forward-backward stochastic differential equations with continuous monotone coefficients
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- Matoussi, Anis, 1997. "Reflected solutions of backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 34(4), pages 347-354, June.
- Antonelli, Fabio & Hamadène, SaI¨d, 2006. "Existence of the solutions of backward-forward SDE's with continuous monotone coefficients," Statistics & Probability Letters, Elsevier, vol. 76(14), pages 1559-1569, August.
- Hamadène, S. & Lepeltier, J. -P., 2000. "Reflected BSDEs and mixed game problem," Stochastic Processes and their Applications, Elsevier, vol. 85(2), pages 177-188, February.
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- Paulwin Graewe & Ulrich Horst, 2016. "Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience," Papers 1611.03435, arXiv.org, revised Jul 2017.
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Keywords
Forward-backward stochastic differential equation Obstacle constraint Reflection Increasing process;Statistics
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