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Infinite time interval RBSDEs with non-Lipschitz coefficients
Weiwei Hua,Long Jiang,Xuejun Shi 한국통계학회 2013 Journal of the Korean Statistical Society Vol.42 No.2
This paper aims at solving infinite horizon reflected backward stochastic differential equations (RBSDEs) under weak assumptions. We obtain a more general existence and uniqueness theorem about the solutions to RBSDEs with non-Lipschitz generators.