The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles (Q2485327)

The problem of how a solution of a backward stochastic differential equation can be reflected by an irregular obstacle is shown to be equivalent to find the smallest \(g\)-supermartingale of the backward stochastic differential equation that dominates the \(L^2\)-obstacle. The authors study in detail the latter problem: existence, uniqueness and continuous dependence. The case of double \(L^2\)-obstacles is proved to be equivalent to find the smallest \(g\)-supermartingale and the largest \(g\)-submartingale of the problem that dominates the obstacle.