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On Variant Reflected Backward SDEs, with Applications
Joint Authors
Source
Journal of Applied Mathematics and Stochastic Analysis
Issue
Vol. 2009, Issue 2009 (31 Dec. 2009), pp.1-26, 26 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2009-06-18
Country of Publication
Egypt
No. of Pages
26
Main Subjects
Abstract EN
We study a new type of reflected backward stochastic differential equations (RBSDEs), where the reflecting process enters the drift in a nonlinear manner.
This type of the reflected BSDEs is based on a variance of the Skorohod problem studied recently by Bank and El Karoui (2004), and is hence named the “Variant Reflected BSDEs” (VRBSDE) in this paper.
The special nature of the Variant Skorohod problem leads to a hidden forward-backward feature of the BSDE, and as a consequence this type of BSDE cannot be treated in a usual way.
We shall prove that in a small-time duration most of the well-posedness, comparison, and stability results are still valid, although some extra conditions on the boundary process are needed.
We will also provide some possible applications where the VRBSDE can be potentially useful.
These applications show that the VRBSDE could become a novel tool for some problems in finance and optimal stopping problems where no existing methods can be easily applicable.
American Psychological Association (APA)
Ma, Jin& Wang, Yusun. 2009. On Variant Reflected Backward SDEs, with Applications. Journal of Applied Mathematics and Stochastic Analysis،Vol. 2009, no. 2009, pp.1-26.
https://search.emarefa.net/detail/BIM-503652
Modern Language Association (MLA)
Ma, Jin& Wang, Yusun. On Variant Reflected Backward SDEs, with Applications. Journal of Applied Mathematics and Stochastic Analysis No. 2009 (2009), pp.1-26.
https://search.emarefa.net/detail/BIM-503652
American Medical Association (AMA)
Ma, Jin& Wang, Yusun. On Variant Reflected Backward SDEs, with Applications. Journal of Applied Mathematics and Stochastic Analysis. 2009. Vol. 2009, no. 2009, pp.1-26.
https://search.emarefa.net/detail/BIM-503652
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-503652