International Journal of Stochastic Analysis

International Journal of Stochastic Analysis / 2003 / Article

Open Access

Volume 16 |Article ID 137259 | https://doi.org/10.1155/S1048953303000248

Auguste Aman, Modeste N'Zi, "Backward stochastic differential equations with oblique reflection and local Lipschitz drift", International Journal of Stochastic Analysis, vol. 16, Article ID 137259, 15 pages, 2003. https://doi.org/10.1155/S1048953303000248

Backward stochastic differential equations with oblique reflection and local Lipschitz drift

Received01 Jan 2003
Revised01 Sep 2003

Abstract

We consider reflected backward stochastic differential equations with time and space dependent coefficients in an orthant, and with oblique reflection. Existence and uniqueness of solution are established assuming local Lipschitz continuity of the drift, Lipschitz continuity and uniform spectral radius conditions on the reflection matrix.

Copyright © 2003 Hindawi Publishing Corporation. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


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