Representation Theorems for RBSDEs with Continuous Generators
ZHENG ShiQiu;LI ShouMei
College of Applied Sciences, Beijing University of Technology, Beijing, 100124, China;College of Sciences, North China University of Science and Technology, Tangshan, 063210, China
In this paper, we establish a local representation theorem for generators of reflected backward stochastic differential equations (RBSDEs), whose generators are continuous with linear growth. It generalizes some known representation theorems for generators of backward stochastic differential equations (BSDEs). As some applications, a general converse comparison theorem for RBSDEs is obtained and some properties of RBSDEs are discussed.
The project was supported by the National Natural Science Foundation of China (Grant No.\;11571024), the Natural Science Foundation of Beijing (Grant No. 1132008) and a program of Hebei Province (Grant No. QN2017116).
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ZHENG ShiQiu;LI ShouMei. Representation Theorems for RBSDEs with Continuous Generators. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2017, 33(6): 551-566.
