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2015 Reflected backward stochastic differential equations driven by countable Brownian motions with continuous coefficients
Jean-Marc Owo
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Electron. Commun. Probab. 20: 1-11 (2015). DOI: 10.1214/ECP.v20-3771

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.

Citation

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Jean-Marc Owo. "Reflected backward stochastic differential equations driven by countable Brownian motions with continuous coefficients." Electron. Commun. Probab. 20 1 - 11, 2015. https://doi.org/10.1214/ECP.v20-3771

Information

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

zbMATH: 1321.60128
MathSciNet: MR3327865
Digital Object Identifier: 10.1214/ECP.v20-3771

Subjects:
Primary: 60H05
Secondary: 60H20 , 65C30

Keywords: backward doubly stochastic differential equations , Comparison theorem , continuous and linear growth conditions , Countable Brownian Motions

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