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Backward SDEs with two barriers and continuous coefficient: an existence result

Part of: Stochastic analysis

Published online by Cambridge University Press:  14 July 2016

Jean-Pierre Lepeltier  and
Jaime San Martín
Jean-Pierre Lepeltier*
Affiliation:
Université du Maine
Jaime San Martín*
Affiliation:
Universidad de Chile, Santiago
*
∗ Postal address: Laboratoire de Statistique et Processus, Université du Maine, 72085 Le Mans, Cedex 9, France. Email address: [email protected]
∗∗ Postal address: Departamento de Ingeniería Matemática, Centro de Modelamiento Matemático UMR 2071-CNRS, Universidad de Chile, Casilla 170-3, Correo 3, Santiago, Chile. Email address: [email protected]
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Abstract

In this work we prove the existence of a solution for a doubly reflected backward SDE with a continuous linearly increasing coefficient in the case where the barriers L and U are such that L < U on [0,T) and there exists a continuous semimartingale between L and U.

Keywords

Backward SDEbarrier

MSC classification

Primary: 60H20: Stochastic integral equations
Secondary: 60H30: Applications of stochastic analysis (to PDE, etc.)
Type
Research Papers
Information
Journal of Applied Probability , Volume 41 , Issue 1 , March 2004 , pp. 162 - 175
Copyright
Copyright © Applied Probability Trust 2004 

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References

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