Multi-dimensional reflected backward stochastic differential equations and the comparison theorem |
| |
Authors: | Wu Zhen Xiao Hua |
| |
Affiliation: | 1. School of Mathematics, Shandong University, Jinan 250100, China;2. School of Mathematics and Statistics, Shandong University at Weihai, Weihai 264209, China |
| |
Abstract: | In this article, we study the multi-dimensional reflected backward stochastic differential equations. The existence and uniqueness result of the solution for this kind of equation is proved by the fixed point argument where every element of the solution is forced to stay above the given stochastic process, i.e., multi-dimensional obstacle, respectively. We also give a kind of multi-dimensional comparison theorem for the reflected BSDE and then use it as the tool to prove an existence result for the multi-dimensional reflected BSDE where the coefficient is continuous and has linear growth. |
| |
Keywords: | backward stochastic differential equations comparison theorem local time |
本文献已被 ScienceDirect 等数据库收录! |
|