A generalized existence theorem of reflected BSDEs with double obstacles

作者：Zheng, Shiqlu^*; Zhou, Shengwu

来源：Statistics & Probability Letters, 2008, 78(5): 528-536.

DOI：10.1016/j.spl.2007.09.003

• reflected backward stochastic differential equation
• generator
• comparison theorem

This paper proves the existence of solutions of one-dimensional reflected backward stochastic differential equations with double obstacles, where the coefficient (or generator) g(t,y,z) is left-Lipschitz in y (may be discontinuous) and Lipschitz in z.

• 出版日期2008-4-1
• 单位中国矿业大学