BSDEs with two reflecting barriers: the general result
成果类型：
Article
署名作者：
Hamadène, S; Hassani, M
署名单位：
Le Mans Universite
刊物名称：
PROBABILITY THEORY AND RELATED FIELDS
ISSN/ISSBN：
0178-8051
DOI：
10.1007/s00440-004-0395-2
发表日期：
2005
页码：
237-264
关键词：
摘要：
In this paper we show the existence of a solution for the BSDE with two reflecting barriers when those latter are completely separated. Neither Mokobodzki's condition nor the regularity of the barriers are supposed. The main tool is the notion of local solution of reflected BSDEs. Applications related to Dynkin games and double obstacle variational inequality are given.
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