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

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.

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Year of publication:	2008
Authors:	Xu, Mingyu
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 118.2008, 6, p. 968-980
Publisher:	Elsevier
Keywords:	Reflected backward stochastic differential equation Monotonicity Non-Lipschitz condition Quadratic increasing Linear increasing

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874176