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Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier

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  • Xu, Xiaoming

Abstract

Generalized anticipated backward stochastic differential equations, studied for the first time in 2007, are equations with generator f depending on the future value of the solution (Y⋅,Z⋅). In this paper, we will study the existence and uniqueness of the reflected solutions to these equations, and as an application we solve a type of reflected equations with functional barrier.

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  • Xu, Xiaoming, 2012. "Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier," Statistics & Probability Letters, Elsevier, vol. 82(6), pages 1185-1192.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:6:p:1185-1192
    DOI: 10.1016/j.spl.2012.02.017
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    References listed on IDEAS

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    1. 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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