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Reflected forward-backward stochastic differential equations with continuous monotone coefficients

Author

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  • Huang, Zongyuan
  • Lepeltier, Jean-Pierre
  • Wu, Zhen

Abstract

In this work, we prove that there exists at least one solution for the reflected forward-backward stochastic differential equations satisfying the obstacle constraint with continuous monotone coefficients. The distinct character of our result is that the coefficient of the forward SDEs contains the solution variable of the reflected BSDEs.

Suggested Citation

  • Huang, Zongyuan & Lepeltier, Jean-Pierre & Wu, Zhen, 2010. "Reflected forward-backward stochastic differential equations with continuous monotone coefficients," Statistics & Probability Letters, Elsevier, vol. 80(21-22), pages 1569-1576, November.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:21-22:p:1569-1576
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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.
    2. Antonelli, Fabio & Hamadène, SaI¨d, 2006. "Existence of the solutions of backward-forward SDE's with continuous monotone coefficients," Statistics & Probability Letters, Elsevier, vol. 76(14), pages 1559-1569, August.
    3. Hamadène, S. & Lepeltier, J. -P., 2000. "Reflected BSDEs and mixed game problem," Stochastic Processes and their Applications, Elsevier, vol. 85(2), pages 177-188, February.
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    Cited by:

    1. Paulwin Graewe & Ulrich Horst, 2016. "Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience," Papers 1611.03435, arXiv.org, revised Jul 2017.

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