Reflected backward stochastic differential equations with time-delayed generators

Navègué Tuo; Harouna Coulibaly; Auguste Aman

doi:10.1515/rose-2018-0002

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Reflected backward stochastic differential equations with time-delayed generators

Navègué Tuo Harouna Coulibaly Auguste Aman

Year: 2018 Journal: Random Operators and Stochastic Equations Vol: 26 (1)Pages: 11-22 Publisher: De Gruyter

DOI: 10.1515/rose-2018-0002

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Abstract

Abstract This paper is devoted to establish an existence and uniqueness result of one-dimensional reflected backward stochastic differential equations with time-delayed generators (RBSDEs with time-delayed generators, in short). Our proof is based on approximation via a penalization method.

Keywords:

Mathematics Stochastic differential equation Uniqueness Applied mathematics Differential equation Mathematical analysis

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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

Mathematical Biology Tumor Growth

Physical Sciences → Mathematics → Modeling and Simulation

Reflected backward stochastic differential equations with time-delayed generators

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