Double barrier reflected BSDEs with stochastic Lipschitz coefficient

TL;DR

This paper establishes the existence and uniqueness of solutions for doubly reflected backward stochastic differential equations with stochastic Lipschitz coefficients using the penalization method.

Contribution

It introduces a novel approach to handle stochastic Lipschitz coefficients in doubly reflected BSDEs, expanding the theoretical framework.

Findings

Proves existence and uniqueness of solutions.

Extends BSDE theory to stochastic Lipschitz coefficients.

Uses penalization method for proof.

Abstract

This paper proves the existence and uniqueness of a solution to doubly reflected backward stochastic differential equations where the coefficient is stochastic Lipschitz, by means of the penalization method.