Double barrier reflected BSDEs with stochastic Lipschitz coefficient
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.
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2017-12-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/17-VMSTA90 |