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Backward SDEs with two barriers and continuous coefficient: An existence result
Abstract
In this work we prove the existence of a solution for a doubly reflected backward SDE with a continuous linearly increasing coefficient in the case where the barriers L and U are such that L < U on [0, T) and there exists a continuous semimartingale between L and U.
Más información
| Título según WOS: | Backward SDEs with two barriers and continuous coefficient: An existence result |
| Título según SCOPUS: | Backward SDEs with two barriers and continuous coefficient: An existence result |
| Título de la Revista: | JOURNAL OF APPLIED PROBABILITY |
| Volumen: | 41 |
| Número: | 1 |
| Editorial: | CAMBRIDGE UNIV PRESS |
| Fecha de publicación: | 2004 |
| Página de inicio: | 162 |
| Página final: | 175 |
| Idioma: | English |
| URL: | http://projecteuclid.org/Dienst/getRecord?id=euclid.jap/1077134675/ |
| DOI: |
10.1239/jap/1077134675 |
| Notas: | ISI, SCOPUS |