Anticipated Backward Stochastic Differential Equation with Reflection

作者：Feng, Xinwei^*

来源：Communications in Statistics - Simulation and Computation, 2016, 45(5): 1676-1688.

DOI：10.1080/03610918.2015.1011336

• Backward stochastic differential equation
• Lipschitz condition
• Non-Lipschitz condition
• Reflection

In this article, we deal with anticipated backward stochastic differential equation with reflecting boundary. The existence and uniqueness of solution is obtained for equation with Lipschitz and non-Lipschitz generator.

• 出版日期2016
• 单位山东大学