Work

L p -solution of reflected generalized BSDEs with non-Lipschitz coefficients

Year: 2009

Type: article

Abstract: In this paper, we continue in solving reflected generalized backward stochastic differential equations (RGBSDE for short) on a fixed time interval by use of some new technical aspects of the stochastic calculus related to the reflected generalized BSDE. Here, existence and uniqueness of solution is proved under a non-Lipschitz condition on the coefficients.

Source: Random Operators and Stochastic Equations

DOI: 10.1515/rose.2009.015

Author: Auguste Aman

Institution: Université Félix Houphouët-Boigny

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2076623304

FWCI: 2.516

Cites: 14

Cited by: 15

Related to: 10