Reflected Backward Stochastic Differential Equations Driven by Countable Brownian Motions
This paper deals with a new class of reflected backward stochastic differential equations driven by countable Brownian motions. The existence and uniqueness of the RBSDEs are obtained via Snell envelope and fixed point theorem.
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2013-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2013/729636 |
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| _version_ | 1850176221705404416 |
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| author | Pengju Duan Min Ren Shilong Fei |
| author_facet | Pengju Duan Min Ren Shilong Fei |
| author_sort | Pengju Duan |
| collection | DOAJ |
| description | This paper deals with a new class of reflected backward stochastic differential equations driven by countable Brownian motions. The existence and uniqueness of the RBSDEs are obtained via Snell envelope and fixed point theorem. |
| format | Article |
| id | doaj-art-b064fba28e68402e898c004cddb1e983 |
| institution | OA Journals |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2013-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-b064fba28e68402e898c004cddb1e9832025-08-20T02:19:18ZengWileyJournal of Applied Mathematics1110-757X1687-00422013-01-01201310.1155/2013/729636729636Reflected Backward Stochastic Differential Equations Driven by Countable Brownian MotionsPengju Duan0Min Ren1Shilong Fei2Laboratory of Intelligent Information Processing, Suzhou University, Anhui 234000, ChinaDepartment of Mathematics, Suzhou University, Anhui 234000, ChinaDepartment of Mathematics, Suzhou University, Anhui 234000, ChinaThis paper deals with a new class of reflected backward stochastic differential equations driven by countable Brownian motions. The existence and uniqueness of the RBSDEs are obtained via Snell envelope and fixed point theorem.http://dx.doi.org/10.1155/2013/729636 |
| spellingShingle | Pengju Duan Min Ren Shilong Fei Reflected Backward Stochastic Differential Equations Driven by Countable Brownian Motions Journal of Applied Mathematics |
| title | Reflected Backward Stochastic Differential Equations Driven by Countable Brownian Motions |
| title_full | Reflected Backward Stochastic Differential Equations Driven by Countable Brownian Motions |
| title_fullStr | Reflected Backward Stochastic Differential Equations Driven by Countable Brownian Motions |
| title_full_unstemmed | Reflected Backward Stochastic Differential Equations Driven by Countable Brownian Motions |
| title_short | Reflected Backward Stochastic Differential Equations Driven by Countable Brownian Motions |
| title_sort | reflected backward stochastic differential equations driven by countable brownian motions |
| url | http://dx.doi.org/10.1155/2013/729636 |
| work_keys_str_mv | AT pengjuduan reflectedbackwardstochasticdifferentialequationsdrivenbycountablebrownianmotions AT minren reflectedbackwardstochasticdifferentialequationsdrivenbycountablebrownianmotions AT shilongfei reflectedbackwardstochasticdifferentialequationsdrivenbycountablebrownianmotions |