We consider reflected backward stochastic differential equations with two optional barriers of class (D) satisfying Mokobodzki’s separation condition, and coefficient which is only continuous and non-increasing. We assume that data are merely integrable and the terminal time is an arbitrary (possibly infinite) stopping time. We study the problem of the existence and uniqueness of solutions to the mentioned equations, and their connections with the value process in nonlinear Dynkin games.
This work was supported by Polish National Science Centre (Grant No. 2016/23/B/ST1/01543).
"Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space." Electron. J. Probab. 26 1 - 24, 2021. https://doi.org/10.1214/21-EJP655