Second order reflected backward stochastic differential equations (Q389069)

The second-order reflected backward stochastic differential equation: \[ Y_t= \xi+ \int^T_t\widehat F(Y_s, Z_s)\,ds- \int^T_t Z_s dB_s+ K_T- K_t,\quad 0\leq t\leq T,\tag{1} \] is considered. Under certain assumptions of Lipschitz type, the authors show the representation formula of the solution of (1) and prove the uniqueness of the solution. They also show some properties of the solution and a comparison theorem. The results are applied to the pricing of American options.