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Reflected Backward Stochastic Differential Equations Driven by Countable Brownian Motions

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  • Pengju Duan
  • Min Ren
  • Shilong Fei

Abstract

This paper deals with a new class of reflected backward stochastic differential equations driven by countable Brownian motions. The existence and uniqueness of the RBSDEs are obtained via Snell envelope and fixed point theorem.

Suggested Citation

  • Pengju Duan & Min Ren & Shilong Fei, 2013. "Reflected Backward Stochastic Differential Equations Driven by Countable Brownian Motions," Journal of Applied Mathematics, John Wiley & Sons, vol. 2013(1).
    • Handle: RePEc:wly:jnljam:v:2013:y:2013:i:1:n:729636
    DOI: 10.1155/2013/729636
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    References listed on IDEAS

    as
    1. Jia, Guangyan, 2008. "A class of backward stochastic differential equations with discontinuous coefficients," Statistics & Probability Letters, Elsevier, vol. 78(3), pages 231-237, February.
    2. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
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