Skorohod Equation and Reflected Backward Stochastic Differential Equations

Zhongmin Qian; Mingyu Xu

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arXiv · 1103.2078

Skorohod Equation and Reflected Backward Stochastic Differential Equations

Zhongmin Qian·Mingyu Xu

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Abstract

By using the Skorohod equation we derive an iteration procedure which allows us to solve a class of reflected backward stochastic differential equations with non-linear resistance induced by the reflected local time. In particular, we present a new method to study the reflected BSDE proposed first by El Karoui et al. \cite{MR1434123}.

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Zhongmin Qian, Mingyu Xu. 2011-03-10. Skorohod Equation and Reflected Backward Stochastic Differential Equations. https://arxiv.org/abs/1103.2078

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