Reflected backward stochastic differential equations with two optional barriers
Autor: | Leszek Słomiński, Maurycy Rzymowski, Tomasz Klimsiak |
---|---|
Jazyk: | angličtina |
Rok vydání: | 2018 |
Předmět: | |
Popis: | We consider reflected backward stochastic differential equations with two general optional barriers. The solutions to these equations have the so-called regulated trajectories, i.e. trajectories with left and right finite limits. We prove the existence and uniqueness of L p solutions, p ≥ 1 , and show that the solutions may be approximated by a modified penalization method. |
Databáze: | OpenAIRE |
Externí odkaz: |