Reflected BSDE's with discontinuous barrier and application |
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| Authors: | S Hamadène |
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| Institution: | Laboratoire de Statistique et Processus , Université du Maine , Le Mans Cedex 9, 72085, France |
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| Abstract: | We deal with reflected backward stochastic differential equations with right continuous and left limited barrier. We show the existence and uniqueness of the solution and we give a comparison theorem. As an application, we study the link between such an equations with stochastic mixed control problems. |
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| Keywords: | Backward Equation Comparison Theorem Mixed Control Snell Envelope Stopping Time |
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