Electronic Communications in Probability

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

Jean-Marc Owo

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Abstract

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

Article information

Source
Electron. Commun. Probab., Volume 20 (2015), paper no. 26, 11 pp.

Dates
Accepted: 14 March 2015
First available in Project Euclid: 7 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465320953

Digital Object Identifier
doi:10.1214/ECP.v20-3771

Mathematical Reviews number (MathSciNet)
MR3327865

Zentralblatt MATH identifier
1321.60128

Subjects
Primary: 60H05: Stochastic integrals
Secondary: 60H20: Stochastic integral equations 65C30: Stochastic differential and integral equations

Keywords
Backward doubly stochastic differential equations Countable Brownian Motions comparison theorem continuous and linear growth conditions

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

Owo, Jean-Marc. Reflected backward stochastic differential equations driven by countable Brownian motions with continuous coefficients. Electron. Commun. Probab. 20 (2015), paper no. 26, 11 pp. doi:10.1214/ECP.v20-3771. https://projecteuclid.org/euclid.ecp/1465320953


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References

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