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Reflected Backward SDEs in a Convex Polyhedron

  • Khadija AkdimEmail author
Chapter
  • 46 Downloads
Part of the Applied and Numerical Harmonic Analysis book series (ANHA)

Abstract

A backward stochastic differential equation is forced to stay within a d-dimensional bounded convex polyhedral domain, thanks to the action of oblique reflecting process at the boundary. The Lipschitz continuity on the reflection directions together with the Lipschitz continuity of the drift gives the existence and uniqueness of the solution.

Keywords

Vector field Gaussian process Random field Covariance operator 

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Copyright information

© Springer Nature Switzerland AG 2020

Authors and Affiliations

  1. 1.Department of Mathematics, Faculty of Sciences and TechniquesCadi Ayyad UniversityMarrakechMorocco

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