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.
DOI : 10.1051/ps/2014021
Mots clés : Reflected backward stochastic differential equation, time delayed generator, comparison principle
@article{PS_2015__19__194_0, author = {Karouf, Monia}, title = {Reflected {BSDE{\textquoteright}s} with discontinuous barrier and time delayed generators}, journal = {ESAIM: Probability and Statistics}, pages = {194--203}, publisher = {EDP-Sciences}, volume = {19}, year = {2015}, doi = {10.1051/ps/2014021}, mrnumber = {3394489}, zbl = {1333.60121}, language = {en}, url = {http://www.numdam.org/articles/10.1051/ps/2014021/} }
TY - JOUR AU - Karouf, Monia TI - Reflected BSDE’s with discontinuous barrier and time delayed generators JO - ESAIM: Probability and Statistics PY - 2015 SP - 194 EP - 203 VL - 19 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/ps/2014021/ DO - 10.1051/ps/2014021 LA - en ID - PS_2015__19__194_0 ER -
Karouf, Monia. Reflected BSDE’s with discontinuous barrier and time delayed generators. ESAIM: Probability and Statistics, Tome 19 (2015), pp. 194-203. doi : 10.1051/ps/2014021. http://www.numdam.org/articles/10.1051/ps/2014021/
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