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arXiv · 1801.01016

Double barrier reflected BSDEs with stochastic Lipschitz coefficient

Mohamed Marzougue·Mohamed El Otmani
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Abstract

This paper proves the existence and uniqueness of a solution to doubly reflected backward stochastic differential equations where the coefficient is stochastic Lipschitz, by means of the penalization method.

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Mohamed Marzougue, Mohamed El Otmani. 2018-01-03. Double barrier reflected BSDEs with stochastic Lipschitz coefficient. https://doi.org/10.15559/17-vmsta90

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