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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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초록· 키워드
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In this paper, we establish the existence and uniqueness of the solution for a class of reflected backward stochastic differential equations with time delayed generator (RBSDEs with time delayed generator, in short) in the case when the terminal value and the obstacle process are $L^p$-integrable with $p \in ]1,2[$ for a sufficiently small Lipschitz constant of the generator and the time horizon $T$.
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참고문헌 (25)
참고문헌 신청
S. Chen / 2010 / Lp-solutions of one-dimensional backward stochastic differential equations with continuous coefficients / Stoch. Anal. Appl 28(5):820~841
S. Crepey / 2008 / Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison / Ann. Appl. Probab 18(5):2041~2069
J. Cvitanic / 1996 / Backward stochastic differential equations with reflection and Dynkin games / Ann. Probab 24(4):2024~2056
J. Cvitanic / 2001 / Reflected forward-backward SDEs and obstacle problems with boundary conditions / J. Appl. Math. Stoch. Anal 14(2):113~138
C. Dellacherie / 1980 / Probabilites et Potentiel V-VIII / Hermann
S. Crepey / 2008 / Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison / Ann. Appl. Probab 18(5):2041~2069
J. Cvitanic / 1996 / Backward stochastic differential equations with reflection and Dynkin games / Ann. Probab 24(4):2024~2056
J. Cvitanic / 2001 / Reflected forward-backward SDEs and obstacle problems with boundary conditions / J. Appl. Math. Stoch. Anal 14(2):113~138
C. Dellacherie / 1980 / Probabilites et Potentiel V-VIII / Hermann
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