BSDEs with two reflecting barriers:: the general result

被引：70
作者：
Hamadène, S [1 ]
Hassani, M [1 ]
机构：
[1] Univ Maine, Lab Stat & Proc, F-72085 Le Mans, France
来源：
PROBABILITY THEORY AND RELATED FIELDS | 2005年 / 132卷 / 02期
关键词：
backward stochastic differential equation; reflecting barriers; variational inequality; Dynkin games;
D O I：
10.1007/s00440-004-0395-2
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper we show the existence of a solution for the BSDE with two reflecting barriers when those latter are completely separated. Neither Mokobodzki's condition nor the regularity of the barriers are supposed. The main tool is the notion of local solution of reflected BSDEs. Applications related to Dynkin games and double obstacle variational inequality are given.
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页码：237 / 264
页数：28
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