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Backward SDEs with two barriers and continuous coefficient: an existence result
Part of
- Stochastic analysis
Jean-Pierre Lepeltier, Jaime San Martín
Journal:

Journal of Applied Probability / Volume 41 / Issue 1 / March 2004

Published online by Cambridge University Press:

14 July 2016, pp. 162-175

Print publication:

March 2004
- Article
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In this work we prove the existence of a solution for a doubly reflected backward SDE with a continuous linearly increasing coefficient in the case where the barriers L and U are such that L < U on [0,T) and there exists a continuous semimartingale between L and U.

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Backward SDEs with two barriers and continuous coefficient: an existence result