Journal article
Reflected backward stochastic differential equations with resistance
- Abstract:
- In this article we study a class of reflected backward stochastic differential equations (introduced in El Karoui et al. (3), RBSDE for short) with non-linear resistance by means of Skorohod’s equation. The advantage of this approach lies in its path-wise nature and therefore provides additional information about solutions of RBSDE. As an application of our approach, we will consider reflected backward problems with resistance as well. This class of RBSDEs possess significance in the super-hedging with wealth constraint.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
- Version:
- Accepted manuscript
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- Files:
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(pdf, 228.3KB)
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- Publisher copy:
- 10.1214/17-AAP1319
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Authors
Funding
Bibliographic Details
- Publisher:
- Institute of Mathematical Statistics Publisher's website
- Journal:
- Annals of Applied Probability Journal website
- Volume:
- 28
- Issue:
- 2
- Pages:
- 888-911
- Publication date:
- 2018-04-11
- Acceptance date:
- 2017-06-05
- DOI:
- ISSN:
-
1050-5164
- Pubs id:
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pubs:700104
- URN:
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uri:7f69a234-7f3f-48fa-ad8b-b6c908358195
- UUID:
-
uuid:7f69a234-7f3f-48fa-ad8b-b6c908358195
- Local pid:
- pubs:700104
Item Description
Terms of use
- Copyright holder:
- © Institute of Mathematical Statistics, 2018
- Copyright date:
- 2018
- Notes:
- This is the author accepted manuscript following peer review version of the article. The final version is available online from Institute of Mathematical Statistics at: 10.1214/17-AAP1319
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