Reflected backward stochastic differential equations with optional barriers: monotone approximation

2021/07/01 by Siham Bouhadou, Bouhadou, Siham, Astrid Hilbert +3
Economics, Econometrics and Finance · Mathematics · Social Sciences · #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications #math.PR

paper · pdf · doi:10.48550/arxiv.2107.00707

arxiv created 2021/07/01 · openalex publication_date 2021/07/01 · arxiv updated 2021/07/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this short note we consider RBSDE with Lipschitz drivers and barrier processes that are optional and right upper semicontinuous. We treat the case when the barrier can be represented as a decreasing limit of cadlag barriers. We combine well known existence results for cadlag barriers with comparison arguments for the control process to construct solutions. Finally, we highlight the connection of such RBSDEs with usual cadlag BSDEs.

Citations

• Reflected backward stochastic differential equation with jumps and RCLL obstacle

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