Skorohod Equation and Reflected Backward Stochastic Differential Equations

preprint2011arXivOpen access

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. \cite{MR1434123}.

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