Reflected backward stochastic differential equation with jumps and random obstacle.
Hamadéne, S., Ouknine, Y. (2003)
Electronic Journal of Probability [electronic only]
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Reflected backward stochastic differential equation with jumps and random obstacle.
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Applications of Mathematics
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We give a sufficient condition on the coefficients of a class of infinite horizon backward doubly stochastic differential equations (BDSDES), under which the infinite horizon BDSDES have a unique solution for any given square integrable terminal values. We also show continuous dependence theorem and convergence theorem for this kind of equations.
solutions of BSDEs with stochastic Lipschitz condition.
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Electronic Journal of Probability [electronic only]
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