{"title":"Anticipated BSDEs with reflection in convex region","authors":"Xiaoyan Xu, Mingbo Zhang","doi":"10.1080/17442508.2022.2084339","DOIUrl":null,"url":null,"abstract":"In this paper, we deal with a class of reflected anticipated backward stochastic differential equation with convex reflecting boundary conditions. The existence and uniqueness of solution is obtained for equation with Lipschitz and non-Lipschitz generator respectively.","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"31 1","pages":"329 - 355"},"PeriodicalIF":1.1000,"publicationDate":"2023-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance and Stochastics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/17442508.2022.2084339","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
In this paper, we deal with a class of reflected anticipated backward stochastic differential equation with convex reflecting boundary conditions. The existence and uniqueness of solution is obtained for equation with Lipschitz and non-Lipschitz generator respectively.
期刊介绍：
The purpose of Finance and Stochastics is to provide a high standard publication forum for research
- in all areas of finance based on stochastic methods
- on specific topics in mathematics (in particular probability theory, statistics and stochastic analysis) motivated by the analysis of problems in finance.
Finance and Stochastics encompasses - but is not limited to - the following fields:
- theory and analysis of financial markets
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- portfolio selection
- credit and market risks
- term structure models
- statistical and empirical financial studies based on advanced stochastic methods
- numerical and stochastic solution techniques for problems in finance
- intertemporal economics, uncertainty and information in relation to finance.
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