Reflected backward stochastic differential equations with time delayed generators

Qing Zhou; Yong Ren

doi:10.1016/j.spl.2012.02.012

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Reflected backward stochastic differential equations with time delayed generators

Qing Zhou Yong Ren

Year: 2012 Journal: Statistics & Probability Letters Vol: 82 (5)Pages: 979-990 Publisher: Elsevier BV

DOI: 10.1016/j.spl.2012.02.012

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Keywords:

Mathematics Generator (circuit theory) Uniqueness Lipschitz continuity Stochastic differential equation Constant (computer programming) Applied mathematics Class (philosophy) Mathematical analysis Differential equation Power (physics) Computer science

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Stability and Controllability of Differential Equations

Physical Sciences → Engineering → Control and Systems Engineering

Advanced Mathematical Modeling in Engineering

Physical Sciences → Computer Science → Computational Theory and Mathematics

Reflected backward stochastic differential equations with time delayed generators

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