Reflected backward stachastic differential equations under monotonicity and general increasing

Citation
Lepeltier, J-p et al., Reflected backward stachastic differential equations under monotonicity and general increasing, Advances in applied probability , 37(1), 2005, pp. 134-159
ISSN journal
00018678
Volume
37
Issue
1
Year of publication
2005
Pages
134 - 159
Database
ACNP
SICI code
Abstract
We prove the existence and uniqueness of the solution to certain reflected backward stochastic differential equations (RBSDEs) with one continuous barrier and deterministic terminal time, under monotonicity and general increasing growth conditions on the associated coefficient. As an application, we obtain, in some constraint cases, the price of an American contingent claim as the unique solution of such an RBSDE.