2000 character limit reached
A Note on Reflected BSDEs in Infinite Horizon with Stochastic Lipschitz Coefficients (2103.05603v2)
Published 9 Mar 2021 in math.PR and math.OC
Abstract: We consider an infinite horizon, obliquely reflected backward stochastic differential equation (RBSDE). The main contribution of the present work is that we generalize previous results on infinite horizon reflected BSDEs to the setting where the driver has a stochastic Lipschitz coefficient. As an application we consider robust optimal stopping problems for functional stochastic differential equations (FSDEs) where the driver has linear growth.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.
Collections
Sign up for free to add this paper to one or more collections.
