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2021 Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
Tomasz Klimsiak, Maurycy Rzymowski
Author Affiliations +
Electron. J. Probab. 26: 1-24 (2021). DOI: 10.1214/21-EJP655

Abstract

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.

Funding Statement

This work was supported by Polish National Science Centre (Grant No. 2016/23/B/ST1/01543).

Citation

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Tomasz Klimsiak. Maurycy Rzymowski. "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

Information

Received: 19 January 2020; Accepted: 7 June 2021; Published: 2021
First available in Project Euclid: 23 June 2021

Digital Object Identifier: 10.1214/21-EJP655

Subjects:
Primary: 60H10
Secondary: 60G40

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Vol.26 • 2021
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