Geodesic
Reflected BSDE’s with discontinuous barrier and time delayed generators
Karouf, Monia1
1Tunisie
ESAIM: Probability and Statistics, Tome 19 (2015), pp. 194-203
Cet article a éte moissonné depuis la source Numdam

Voir la notice de l'article

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 
@article{PS_2015__19__194_0,
     author = {Karouf, Monia},
     title = {Reflected {BSDE{\textquoteright}s} with discontinuous barrier and time delayed generators},
     journal = {ESAIM: Probability and Statistics},
     pages = {194--203},
     year = {2015},
     publisher = {EDP-Sciences},
     volume = {19},
     doi = {10.1051/ps/2014021},
     mrnumber = {3394489},
     zbl = {1333.60121},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/ps/2014021/}
}
TY  - JOUR
AU  - Karouf, Monia
TI  - Reflected BSDE’s with discontinuous barrier and time delayed generators
JO  - ESAIM: Probability and Statistics
PY  - 2015
SP  - 194
EP  - 203
VL  - 19
PB  - EDP-Sciences
UR  - http://geodesic.mathdoc.fr/articles/10.1051/ps/2014021/
DO  - 10.1051/ps/2014021
LA  - en
ID  - PS_2015__19__194_0
ER  - 
%0 Journal Article
%A Karouf, Monia
%T Reflected BSDE’s with discontinuous barrier and time delayed generators
%J ESAIM: Probability and Statistics
%D 2015
%P 194-203
%V 19
%I EDP-Sciences
%U http://geodesic.mathdoc.fr/articles/10.1051/ps/2014021/
%R 10.1051/ps/2014021
%G en
%F PS_2015__19__194_0
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

Cité par Sources :