Reflected forward-backward stochastic differential equations with continuous monotone coefficients

DOI10.1016/j.spl.2010.06.005zbMath1202.60087OpenAlexW2035055165MaRDI QIDQ1957146

Zongyuan Huang, Zhen Wu, Jean-Pierre Lepeltier

Publication date: 24 September 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.06.005

zbMATH Keywords

reflectionincreasing processforward-backward stochastic differential equationobstacle constraint

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (4)

General coupled mean-field reflected forward-backward stochastic differential equations ⋮ Reflected forward–backward stochastic differential equations and related PDEs ⋮ Numerical Method for Reflected Backward Stochastic Differential Equations ⋮ Reflected forward-backward stochastic differential equations driven by \(G\)-Brownian motion with continuous monotone coefficients

Cites Work

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• Existence of the solutions of backward-forward SDE's with continuous monotone coefficients
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions

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