Reflected backward stochastic differential equations driven by countable Brownian motions. (English) Zbl 1397.60090

Duan, Pengju; Ren, Min; Fei, Shilong

J. Appl. Math. 2013, Article ID 729636, 7 p. (2013).

Summary: This paper deals with a new class of reflected backward stochastic differential equations driven by countable Brownian motions. The existence and uniqueness of the RBSDEs are obtained via Snell envelope and fixed point theorem.

MSC:

60H10	Stochastic ordinary differential equations (aspects of stochastic analysis)
34F05	Ordinary differential equations and systems with randomness
60J65	Brownian motion
34A12	Initial value problems, existence, uniqueness, continuous dependence and continuation of solutions to ordinary differential equations