Abstract
In this chapter we introduce (one-dimensional) reflected BSDEs, motivated by American option pricing. We shall establish its well-posedness, a priori estimates, as well as its connection with PDEs.
Cite
CITATION STYLE
APA
Zhang, J. (2017). Reflected Backward SDEs. In Probability Theory and Stochastic Modelling (Vol. 86, pp. 133–160). Springer Nature. https://doi.org/10.1007/978-1-4939-7256-2_6
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