Backward SDEs with two barriers and continuous coefficient: an existence result

DOI10.1239/jap/1077134675zbMath1051.60066OpenAlexW2033534334MaRDI QIDQ4819445

Jaime San Martín, Jean-Pierre Lepeltier

Publication date: 24 September 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1077134675

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)

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Cites Work

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• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with reflection and Dynkin games
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Backward Stochastic Differential Equations in Finance

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