Year: 2017
Type: article
Abstract: This paper proves the existence and uniqueness of a solution to doubly reflected backward stochastic differential equations where the coefficient is stochastic Lipschitz, by means of the penalization method.
DOI: 10.15559/17-vmsta90
Authors: Mohamed Marzougue, Mohamed El Otmani
Institution: Université Ibn Zohr
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W2773046668