JOURNAL ARTICLE

Reflected backward stochastic differential equations driven by countable Brownian motions with continuous coefficients

Jean-Marc Owo

Year: 2015 Journal:   Electronic Communications in Probability Vol: 20 (none)   Publisher: Institute of Mathematical Statistics

Abstract

In this note, we study one-dimensional reflected backward stochastic differential\nequations (RBSDEs) driven by Countable Brownian Motions with one continuous barrier and\ncontinuous generators. Via a comparison theorem, we provide the existence of a minimal and\na maximal solution to this kind of equations.

Keywords:
Mathematics Countable set Stochastic differential equation Brownian motion Mathematical analysis Comparison theorem Differential equation Pure mathematics Statistics

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Citation History

Topics

Stochastic processes and financial applications
Social Sciences →  Economics, Econometrics and Finance →  Finance
Mathematical Biology Tumor Growth
Physical Sciences →  Mathematics →  Modeling and Simulation
Stability and Controllability of Differential Equations
Physical Sciences →  Engineering →  Control and Systems Engineering

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