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Backward stochastic differential equations with reflection and weak assumptions on the coefficients

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  • Xu, Mingyu

Abstract

In this paper, we study reflected BSDE's with one continuous barrier, under monotonicity and general increasing conditions in y and non-Lipschitz conditions in z. We prove the existence and uniqueness of a solution by an approximation method.

Suggested Citation

  • Xu, Mingyu, 2008. "Backward stochastic differential equations with reflection and weak assumptions on the coefficients," Stochastic Processes and their Applications, Elsevier, vol. 118(6), pages 968-980, June.
    • Handle: RePEc:eee:spapps:v:118:y:2008:i:6:p:968-980
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    References listed on IDEAS

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    1. Matoussi, Anis, 1997. "Reflected solutions of backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 34(4), pages 347-354, June.
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    Cited by:

    1. Lionnet, Arnaud, 2014. "Some results on general quadratic reflected BSDEs driven by a continuous martingale," Stochastic Processes and their Applications, Elsevier, vol. 124(3), pages 1275-1302.
    2. Yuyang Chen & Peng Luo, 2023. "Existence and Uniqueness of Solutions for Multi-dimensional Reflected Backward Stochastic Differential Equations with Diagonally Quadratic Generators," Journal of Theoretical Probability, Springer, vol. 36(3), pages 1698-1719, September.

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