| Issue |
ESAIM: PS
Volume 19, 2015
|
|
|---|---|---|
| Page(s) | 194 - 203 | |
| DOI | https://doi.org/10.1051/ps/2014021 | |
| 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.
Monia.Karouf@fsg.rnu.tn
Received:
9
January
2013
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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