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

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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Year of publication:	2012
Authors:	Xu, Xiaoming
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 6, p. 1185-1192
Publisher:	Elsevier
Subject:	Generalized anticipated backward stochastic differential equation \| Functional barrier \| Reflected solution

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

Persistent link: https://www.econbiz.de/10011039870