Reflected backward stochastic differential equations in an orthant

被引：16
|
作者：
Ramasubramanian, S [1 ]
机构：
[1] Indian Stat Inst, Stat & Math Unit, Bangalore 560059, Karnataka, India
来源：
PROCEEDINGS OF THE INDIAN ACADEMY OF SCIENCES-MATHEMATICAL SCIENCES | 2002年 / 112卷 / 02期
关键词：
backward SDE's; Skorokhod problem; oblique reflection; spectral radius; total variation; local time; contraction map; subsidy-surplus model;
D O I：
10.1007/BF02829759
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We consider RBSDE in an orthant with oblique reflection and with time and space dependent coefficients, viz. Z(t) = xi + integral(t)(T) b(s, Z(s))ds + integral(t)(T) R(s, Z(s)) dY(s) - integral(t)(T) <U(s), dB(s)> with Z(i) (.) greater than or equal to0, Y-i (.) nondecreasing and Y-i (.) increasing only when Z(i)(.) = 0, 1 less than or equal to i less than or equal to d. Existence of a unique solution is established under Lipschitz continuity of b, R and a uniform spectral radius condition on R. On the way we also prove a result concerning the variational distance between the 'pushing parts' of solutions of auxiliary one-dimensional problem.
引用
收藏
页码：347 / 360
页数：14
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