Reflected BSDE's with discontinuous barrier and application
Reflected BSDE's with discontinuous barrier and application
复制标题
DOI：
10.1080/1045112021000036545
复制
发表时间：
2002-01
期刊：
影响因子：
--
通讯作者：
S. Hamadène
中科院分区：
文献类型：
--
作者：
S. Hamadène
研究了具有右连续左极限障碍的反射倒向随机微分方程。我们证明了解的存在唯一性，并给出了一个比较定理。作为应用，我们研究了这类方程与随机混合控制问题之间的联系。
We deal with reflected backward stochastic differential equations with right continuous and left limited barrier. We show the existence and uniqueness of the solution and we give a comparison theorem. As an application, we study the link between such an equations with stochastic mixed control problems.