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Volume 4, Issue 4 (2017)
Double barrier reflected BSDEs with stoc ...
Modern Stochastics: Theory and Applications
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Double barrier reflected BSDEs with stochastic Lipschitz coefficient
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Double barrier reflected BSDEs with stochastic Lipschitz coefficient
Mohamed Marzougue
Mohamed El Otmani
https://doi.org/10.15559/17-MSTA90
Pub. online:
8 Dec 2017
Type:
Research Article
Open Access
Journal:
Modern Stochastics: Theory and Applications*
Volume 4, Issue 4 (2017), pp. 353–379
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Abstract
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.
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