凸区反射的预期BSDEs

IF 1.1 2区经济学 Q3 BUSINESS, FINANCE

Finance and Stochastics Pub Date : 2023-04-03 DOI:10.1080/17442508.2022.2084339

Xiaoyan Xu, Mingbo Zhang

引用次数: 0

摘要

本文研究了一类具有凸反射边界条件的反射期望倒向随机微分方程。得到了具有Lipschitz生成器和非Lipschitz生成器的方程解的存在唯一性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Anticipated BSDEs with reflection in convex region

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.

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来源期刊

Finance and Stochastics 管理科学-数学跨学科应用

CiteScore

2.90

自引率

5.90%

发文量

审稿时长

>12 weeks

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 - continuous time finance - derivatives research - insurance in relation to finance - 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.