Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier (Q426712)
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English | Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier |
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Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier (English)
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11 June 2012
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After the paper of \textit{S. Peng} and \textit{Z. Yang} [Ann. Probab. 37, No. 3, 877--902 (2009; Zbl 1186.60053)], Yang studied so-called generalised anticipated backward stochastic differential equations (ABSDEs), which, driven by a Brownian motion \(W=(W)_{t\in[0,T]}\), have the form \[ dY_t=-f(t,(Y_r)_{r\in[t,T+h]},(Z_r)_{r\in[t,T+h]})dt+Z_tdW_t,\quad t\in [0,T], \] where \(T,C>0\) and the given terminal conditions are \(Y_t=\xi_t,\;t\in[T,T+C]\), and \(Z_t=\eta_t,\) \(dt\)-a.e., \(t\in(T,T+C]\). For all \(t\in[0,T]\), the function \(f(t,.,.)\) maps the elements of spaces of adapted processes into the space \(L^2({\mathcal F}_t;\mathbb{R}^m)\) and satisfies some comprehensible Lipschitz conditions guaranteeing the existence and the uniqueness of an adapted solution \((Y,Z)\). The author of the present paper extends the results of Yang with the help of a fixed point theorem in a direct way to generalised ABSDEs with a lower reflecting barrier \(S\) which is supposed to be a continuous adapted process with a square integrable positive part. An application is studied, in which the standard reflection condition \(Y_t\geq S_t,\;(Y_t-S_t)dK_t, \;t\in [0,T]\) (\(K\) is the adapted increasing process representing the minimal force needed to keep \(Y\) above the barrier \(S\)) is replaced by \[ \operatorname{E}[\int_t^TY_s\,ds|{\mathcal F}_t]\geq S_t,\;t\in [0,T], \] \[ \int_0^T\big(\operatorname{E}[\int_t^TY_s\,ds|{\mathcal F}_t]-S_t\big)\operatorname{E}[K_T-K_t|{\mathcal F}_t]\,dt=0. \]
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backward stochastic differential equation
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generalised anticipated BSDE
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reflected BSDE
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