REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH RESISTANCE
成果类型：
Article
署名作者：
Qian, Zhongmin; Xu, Mingyu
署名单位：
University of Oxford; Chinese Academy of Sciences; Academy of Mathematics & System Sciences, CAS
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/17-AAP1319
发表日期：
2018
页码：
888-911
关键词：
摘要：
In this article, we study a class of reflected backward stochastic differential equations (introduced in El Karoui et al. [Ann. Probab. 25 (1997) 702-737], RBSDE for short) with nonlinear resistance by means of Skorohod's equation. The advantage of this approach lies in its pathwise 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.