Geodesic
Reflected BSDE’s with discontinuous barrier and time delayed generators
Karouf, Monia1
1 Tunisie
ESAIM: Probability and Statistics, Tome 19 (2015), pp. 194-203

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In this paper, we prove the existence and uniqueness result of the reflected BSDE with time delayed generator and right continuous and left limited barrier. A comparison theorem is also proved.

Reçu le :
DOI : 10.1051/ps/2014021
Classification : 60H10, 60H20, 34K12
Keywords: Reflected backward stochastic differential equation, time delayed generator, comparison principle

Karouf, Monia 1

1 Tunisie 
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     author = {Karouf, Monia},
     title = {Reflected {BSDE{\textquoteright}s} with discontinuous barrier and time delayed generators},
     journal = {ESAIM: Probability and Statistics},
     pages = {194--203},
     publisher = {EDP-Sciences},
     volume = {19},
     year = {2015},
     doi = {10.1051/ps/2014021},
     mrnumber = {3394489},
     zbl = {1333.60121},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/ps/2014021/}
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Karouf, Monia. Reflected BSDE’s with discontinuous barrier and time delayed generators. ESAIM: Probability and Statistics, Tome 19 (2015), pp. 194-203. doi: 10.1051/ps/2014021

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