Volume 19, 2015
|Page(s)||194 - 203|
|Published online||26 August 2015|
Reflected BSDE’s with discontinuous barrier and time delayed generators
Universitéde Carthage, Unité de recherche, Analyse Stochastique et
Modélisation Statistique, Tunisie.
Revised: 9 October 2013
In this paper, we prove the existence and uniqueness result of the reflected BSDE with time delayed generator and right continuous and left limited barrier. A comparison theorem is also proved.
Mathematics Subject Classification: 60H10 / 60H20 / 34K12
Key words: Reflected backward stochastic differential equation / time delayed generator / comparison principle
© EDP Sciences, SMAI 2015
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