Reflected backward stochastic differential equations with two optional barriers

2018/10/18 by Tomasz Klimsiak, Maurycy Rzymowski, Leszek Słomiński · 1 citation
Mathematics · #math.PR

paper · pdf

published as Stochastic Process. Appl. 129 (2019) 1153-1184

arxiv created 2018/10/18 · arxiv updated 2019/10/10

Abstract

We consider reflected backward stochastic differential equations with two general optional barriers. The solutions to these equations have the so-called regulated trajectories, i.e trajectories with left and right finite limits. We prove the existence and uniqueness of \mathbb L^p solutions, p≥ 1, and show that the solutions may be approximated by a modified penalization method.

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