Representation theorems for generators of Reflected BSDEs with continuous and linear-growth generators

Autor:	Zheng, Shiqiu, Li, Shoumei
Rok vydání:	2014
Předmět:	Mathematics - Probability
Druh dokumentu:	Working Paper
Popis:	In this paper, we establish a local representation theorem for generators of reflected backward stochastic differential equations (RBSDE), whose generators are continuous with linear growth. It generalizes some known representation theorems for generators of backward stochastic differential equations (BSDE). As some applications, a general converse comparison theorem for RBSDE is obtained and some properties of RBSDE are discussed. Comment: 13 pages. Final version
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1404.0226 Zobrazit plný text záznamu View this record from Arxiv