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Reflected backward stochastic differential equations with resistance

Abstract:
In this article we study a class of reflected backward stochastic differential equations (introduced in El Karoui et al. (3), RBSDE for short) with non-linear resistance by means of Skorohod’s equation. The advantage of this approach lies in its path-wise nature and therefore provides additional information about solutions of RBSDE. As an application of our approach, we will consider reflected backward problems with resistance as well. This class of RBSDEs possess significance in the super-hedging with wealth constraint.
Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1214/17-AAP1319

Authors


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Institution:
University of Oxford
Oxford college:
Exeter College
Role:
Author
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Funding agency for:
Xu, M
Grant:
11371350/A0110
Publisher:
Institute of Mathematical Statistics Publisher's website
Journal:
Annals of Applied Probability Journal website
Volume:
28
Issue:
2
Pages:
888-911
Publication date:
2018-04-11
Acceptance date:
2017-06-05
DOI:
ISSN:
1050-5164
Source identifiers:
700104
Keywords:
Pubs id:
pubs:700104
UUID:
uuid:7f69a234-7f3f-48fa-ad8b-b6c908358195
Local pid:
pubs:700104
Deposit date:
2017-06-09

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