A COMPARISON THEOREM FOR SOLUTIONS OF BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH TWO REFLECTING BARRIERS AND ITS APPLICATIONS
A COMPARISON THEOREM FOR SOLUTIONS OF BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH TWO REFLECTING BARRIERS AND ITS APPLICATIONS
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DOI：
10.1142/9789812703989_0021
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发表时间：
2003-06
期刊：
影响因子：
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通讯作者：
T. Zhang
中科院分区：
文献类型：
--
作者：
T. Zhang
本文证明了具有两个反射屏障过程的倒向随机微分方程解的一个比较结果。在系数弱的假设下，利用该结果得到了一类具有反射屏障过程的倒向随机微分方程的解的存在性结果。
In this note, we prove a comparison result for the solutions of backward stochastic differential equations with two reflecting barrier processes. The result is then applied to obtain an existence result for solutions of a backward SDE with reflecting barrier processes under weak assumptions on the coefficients.