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Reflected BSDEs with time-delayed generators and nonlinear resistance

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  • Luo, Peng

Abstract

We consider a time-delayed backward stochastic differential equation constrained above a given continuous barrier and having an additional resistance term in the generator. Existence and uniqueness results are provided on a small time horizon. We also provide a stability result with respect to the delay measure.

Suggested Citation

  • Luo, Peng, 2020. "Reflected BSDEs with time-delayed generators and nonlinear resistance," Statistics & Probability Letters, Elsevier, vol. 163(C).
    • Handle: RePEc:eee:stapro:v:163:y:2020:i:c:s0167715220300687
    DOI: 10.1016/j.spl.2020.108765
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    References listed on IDEAS

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    1. dos Reis, Gonçalo & Réveillac, Anthony & Zhang, Jianing, 2011. "FBSDEs with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity," Stochastic Processes and their Applications, Elsevier, vol. 121(9), pages 2114-2150, September.
    2. Zhou, Qing & Ren, Yong, 2012. "Reflected backward stochastic differential equations with time delayed generators," Statistics & Probability Letters, Elsevier, vol. 82(5), pages 979-990.
    3. Delong, Lukasz & Imkeller, Peter, 2010. "On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures," Stochastic Processes and their Applications, Elsevier, vol. 120(9), pages 1748-1775, August.
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