skorohod problem
Recently Published Documents


TOTAL DOCUMENTS

8
(FIVE YEARS 0)

H-INDEX

4
(FIVE YEARS 0)

2009 ◽  
Vol 2009 ◽  
pp. 1-26
Author(s):  
Jin Ma ◽  
Yusun Wang

We study a new type of reflected backward stochastic differential equations (RBSDEs), where the reflecting process enters the drift in a nonlinear manner. This type of the reflected BSDEs is based on a variance of the Skorohod problem studied recently by Bank and El Karoui (2004), and is hence named the “Variant Reflected BSDEs” (VRBSDE) in this paper. The special nature of the Variant Skorohod problem leads to a hidden forward-backward feature of the BSDE, and as a consequence this type of BSDE cannot be treated in a usual way. We shall prove that in a small-time duration most of the well-posedness, comparison, and stability results are still valid, although some extra conditions on the boundary process are needed. We will also provide some possible applications where the VRBSDE can be potentially useful. These applications show that the VRBSDE could become a novel tool for some problems in finance and optimal stopping problems where no existing methods can be easily applicable.


2002 ◽  
Vol 56 (2) ◽  
pp. 243-258 ◽  
Author(s):  
Ahmed El Kharroubi ◽  
Abdelghani Ben Tahar ◽  
Abdelhak Yaacoubi

1991 ◽  
Vol 36 (3-4) ◽  
pp. 265-265 ◽  
Author(s):  
N. El Karoui ◽  
I. Karatzas

1991 ◽  
Vol 34 (1-2) ◽  
pp. 57-82 ◽  
Author(s):  
Nicole El Karoui ◽  
Ioannis Karatzas

Stochastics ◽  
1985 ◽  
Vol 14 (3) ◽  
pp. 227-244 ◽  
Author(s):  
Halina Frankowska
Keyword(s):  

Sign in / Sign up

Export Citation Format

Share Document