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Reflected BSDE and Reflected PDIE
Authors:
M. Hassani a;
Y. Ouknine a
| Affiliation: | a Facult des Sciences Semlalia, Dpartement de Mathmatiques, Universit Cadi Ayyad, Marrakech, Morocco |
DOI:
10.1081/SAP-120030446
Publication Frequency:
6 issues per year
Published in:
Stochastic Analysis and Applications,
Volume
22,
Issue
3
January
2005
, pages 559
- 587
Stochastic Analysis and Applications,
Volume
22,
Issue
3
January
2005
, pages 559
- 587
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Abstract
In this work we consider a large class of multidimensional reflected backward stochastic differential equation (RBSDE for short) with general filtration. We establish an existence and uniqueness result and we derive a probabilistic interpretation for partial differential and integral equation with reflection (RPDIE for short).
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| Keywords: Multidimensional reflected backward stochastic differential equations; Partial differential and integral equations |
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