Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis

✍ Scribed by S. Hamadène; M. Hassani; Y. Ouknine

• Publisher: Elsevier Science
• Year: 2010
• Tongue: French
• Weight: 238 KB
• Volume: 134
• Category: Article
• ISSN: 0007-4497
• DOI: 10.1016/j.bulsci.2010.03.001

✦ Synopsis

In this paper we study Backward Stochastic Differential Equations with two reflecting right continuous with left limits (rcll) barriers. We show existence and uniqueness of the solution when the barriers are completely separated and the generator is uniformly Lipschitz.