Some Results on Reflected Forward-Backward Stochastic differential equations

Document Type : Research Paper

Authors

Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran.

Abstract

This paper is concerned with the reflected forward-backward stochastic differential equations with continuous monotone coefficients. Using the continuity approach, we prove that there exists at least one solution for the reflected forward-backward stochastic differential equations. The distinct character of our result is that the coefficient of the reflected forward SDEs contains the solution variable of the reflected BSDEs.

Keywords


Volume 8, Issue 3
August 2020
Pages 480-492
  • Receive Date: 07 March 2018
  • Revise Date: 20 May 2019
  • Accept Date: 20 May 2019
  • First Publish Date: 01 August 2020