BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient

MohamedMarzougue; MohamedEl Otmani

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BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient

机译：BSDES具有右上半连续的反射障碍物和随机嘴唇尖峰系数

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摘要

This paper proves the existence and uniqueness of a solution to reflected backward stochastic differential equations with a lower obstacle, which is assumed to be right upper-semicontinuous. The result is established where the coefficient is stochastic Lipschitz by using some tools from the general theory of processes such as Mertens decomposition of optional strong supermartingales and other tools from optimal stopping theory.

机译：本文证明了解决方案的存在和唯一性，以用较低的障碍反射向后随机微分方程，这被认为是右上半连续的。通过使用来自一般过程的一般理论的系数是随机的工具，这些工具等结果建立了该结果，例如来自最佳停止理论的可选强大的超级颗粒和其他工具的纤维分解。

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来源
《Random operators and stochastic equations》 |2019年第1期|共15页
作者
MohamedMarzougue; MohamedEl Otmani;
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作者单位

Laboratory of Analysis and Applied Mathematics (LAMA) Faculty of Sciences Agadir Ibn Zohr University Agadir Morocco;

Laboratory of Analysis and Applied Mathematics (LAMA) Faculty of Sciences Agadir Ibn Zohr University Agadir Morocco;

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原文格式 PDF
正文语种 eng
中图分类随机微分方程;
关键词
(Reflected) backward stochastic differential equations; stochastic Lipschitz coefficient; Mertens decomposition; 60H20; 60H30; 65C30;

机译：（反射）向后随机微分方程;随机嘴唇尖端系数;嵌入式分解;60H20;60H30;65C30;

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1. BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient [J] . MohamedMarzougue, MohamedEl Otmani Random operators and stochastic equations . 2019,第1期

机译：BSDES具有右上半连续的反射障碍物和随机嘴唇尖峰系数
2. Fractional anticipated BSDEs with stochastic Lipschitz coefficients [J] . Ahmadou BambaSow, Bassirou KorDiouf Random operators and stochastic equations . 2018,第3期

机译：带有随机Lipschitz系数的分数预期的BSDES
3. Generalized Mean-Field Fractional BSDEs With Non-Lipschitz Coefficients [J] . Qun Shi International Journal of Statistics and Probability . 2021,第3期

机译：具有非Lipschitz系数的广义平均场分数BSDE
4. The existence and uniqueness of adapted solutions of BSDE with non-Lipschitz coefficients [C] . Zhang Kai, He Jingsong 2011 International Conference on Consumer Electronics, Communications and Networks . 2011

机译：具有非Lipschitz系数的BSDE自适应解的存在性和唯一性
5. The application of stochastic mesh method in BSDEs [D] . Haoyang, Xia. 2015

机译：随机网格法在BSDE中的应用
6. A stochastic Fubini theorem: BSDE method [O] . Yanqing Wang -1

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7. Double barrier reflected BSDEs with stochastic Lipschitz coefficient [O] . Marzougue, Mohamed, Otmani, Mohamed El 2018

机译：双障碍反映了具有随机Lipschitz系数的BsDEs

BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient

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