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Modern Stochastics: Theory and Applications


Double barrier reflected BSDEs with stochastic Lipschitz coefficient
Volume 4, Issue 4 (2017), pp. 353–379
Pub. online: 8 December 2017      Type: Research Article      Open accessOpen Access
Received
21 July 2017
Revised
14 November 2017
Accepted
14 November 2017
Published
8 December 2017

Abstract

This paper proves the existence and uniqueness of a solution to doubly reflected backward stochastic differential equations where the coefficient is stochastic Lipschitz, by means of the penalization method.

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Copyright
© 2017 The Author(s). Published by VTeX
Open access article under the CC BY license.

Keywords
BSDE and reflected BSDE Stochastic Lipschitz coefficient

MSC2010
60H20 60H30 65C30

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