REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH TWO RCLL BARRIERS

@inproceedings{Lepeltier2007REFLECTEDBS,
  title={REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH TWO RCLL BARRIERS},
  author={Jean-Pierre Lepeltier and Mingyu Xu and M. XU},
  year={2007}
}
  • Jean-Pierre Lepeltier, Mingyu Xu, XU M.
  • Published 2007
Abstract. In this paper we consider BSDEs with Lipschitz coefficient reflected on two discontinuous (RCLL) barriers. In this case, we prove first the existence and uniqueness of the solution, then we also prove the convergence of the solutions of the penalized equations to the solution of the RBSDE. Since the method used in the case of continuous barriers (see Cvitanic and Karatzas, Ann. Probab. 24 (1996) 2024–2056 and Lepeltier and San Mart́ın, J. Appl. Probab. 41 (2004) 162–175) does not work… CONTINUE READING

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