Reflected BSDEs with general filtration and two completely separated barriers

2016/11/21 by Mateusz Topolewski, Topolewski, Mateusz · 1 citation
Economics, Econometrics and Finance · Mathematics · Social Sciences · #60H99 #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Primary 60H10 #Probability (math.PR) #Secondary 60H30 #Stochastic processes and financial applications #math.PR #msc:60H10 #msc:60H30 #msc:60H99

paper · pdf · doi:10.48550/arxiv.1611.06745

openalex publication_date 2016/11/21 · arxiv created 2018/10/31 · arxiv updated 2018/11/01 · openalex created_date 2022/10/03 · openalex updated_date 2026/07/28

Abstract

We consider reflected backward stochastic differential equations, with two barriers, defined on probability spaces equipped with filtration satisfying only the usual assumptions of right continuity and completeness. As for barriers we assume that there are càdlàg processes of class D that are completely separated. We prove the existence and uniqueness of solutions for integrable final condition and integrable monotone generator. An application to zero-sum Dynkin game is given.

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