On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems
نویسندگان
چکیده
We introduce a class of one-dimensional continuous reflected backward stochastic Volterra integral equations driven by Brownian motion, where the reflection keeps solution above given process (lower obstacle). prove existence and uniqueness fixed point argument derive comparison result. Moreover, we show how our problem is related to time-inconsistent optimal stopping an strategy.
منابع مشابه
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15 صفحه اولReflected backward doubly stochastic differential equations with time delayed generators
We consider a class of reflected backward doubly stochastic differential equations with time delayed generator (in short RBDSDE with time delayed generator), in this case generator at time t can depend on the values of a solution in the past. Under a Lipschitz condition, we ensure the existence and uniqueness of the solution.
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ژورنال
عنوان ژورنال: Systems & Control Letters
سال: 2021
ISSN: ['1872-7956', '0167-6911']
DOI: https://doi.org/10.1016/j.sysconle.2021.104989