Open Access
April 2018 Reflected backward stochastic differential equations with resistance
Zhongmin Qian, Mingyu Xu
Ann. Appl. Probab. 28(2): 888-911 (April 2018). DOI: 10.1214/17-AAP1319
Abstract

In this article, we study a class of reflected backward stochastic differential equations (introduced in El Karoui et al. [Ann. Probab. 25 (1997) 702–737], RBSDE for short) with nonlinear resistance by means of Skorohod’s equation. The advantage of this approach lies in its pathwise nature and, therefore, provides additional information about solutions of RBSDE. As an application of our approach, we will consider reflected backward problems with resistance as well. This class of RBSDEs possess significance in the super-hedging with wealth constraint.

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Copyright © 2018 Institute of Mathematical Statistics
Zhongmin Qian and Mingyu Xu "Reflected backward stochastic differential equations with resistance," The Annals of Applied Probability 28(2), 888-911, (April 2018). https://doi.org/10.1214/17-AAP1319
Received: 1 March 2014; Published: April 2018
Vol.28 • No. 2 • April 2018
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