Skorohod Equation and Reflected Backward Stochastic Differential Equations

2011/03/10 by Zhongmin Qian, Mingyu Xu, Qian, Zhongmin +1
Economics, Econometrics and Finance · Mathematics · #Differential Equations and Numerical Methods #FOS: Mathematics #Numerical methods for differential equations #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1103.2078

openalex publication_date 2011/03/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

By using the Skorohod equation we derive an iteration procedure which allows us to solve a class of reflected backward stochastic differential equations with non-linear resistance induced by the reflected local time. In particular, we present a new method to study the reflected BSDE proposed first by El Karoui et al. \citeMR1434123.

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