BSDEs with monotone generator and two irregular reflecting barriers (Q390828): Difference between revisions

The author studies backward stochastic differential equations (BSDEs) with time-dependent upper and lower reflecting barrier. The new feature is that the barriers are not assumed to be continuous, as was the case in previous work, but only measurable. The first main result is an existence and uniqueness result for solutions of such an equation. Later, the author investigates supersolutions of and approximation methods for BSDEs.