A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations

DOI10.1214/16-AIHP798zbMATH Open1434.60134arXiv1507.06423OpenAlexW2243005506MaRDI QIDQ1635964FDOQ1635964

Authors: Bruno Bouchard, Dylan Possamaï, Xiaolu Tan, Chao Zhou 

Publication date: 1 June 2018

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: We provide a unified approach to a priori estimates for supersolutions of BSDEs in general filtrations, which may not be quasi left-continuous. Unlike the previous related approaches in simpler settings, our results do not only rely on a simple application of It^o's formula and classical estimates, but use crucially appropriate generalizations of deep estimates for supermartingales obtained by Meyer. As an example of application, we prove that reflected BSDEs are well-posed in a general framework which has not been covered so far in the existing literature.

Full work available at URL: https://arxiv.org/abs/1507.06423

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zbMATH Keywords

Doob-Meyer decompositionbackward SDEsupersolutionreflected backward SDE

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (23)

• \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• Mean–field moral hazard for optimal energy demand response management
• Second order backward SDE with random terminal time
• Continuous-time incentives in hierarchies
• Stochastic control for a class of nonlinear kernels and applications
• An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations
• Incentives, lockdown, and testing: from Thucydides' analysis to the COVID-19 pandemic
• Dynamic programming approach to reflected backward stochastic differential equations
• Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability
• Numerical schemes for fully coupled mean-field forward backward stochastic differential equations
• Nonlinear predictable representation and \({\mathbb{L}^1} \)-solutions of backward SDEs and second-order backward SDEs
• An Explicit Second Order Scheme for Decoupled Anticipated Forward Backward Stochastic Differential Equations
• A unified approach to well-posedness of type-I backward stochastic Volterra integral equations
• Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
• Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting
• Wellposedness of second order reflected BSDEs: A new formulation
• On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration
• A general comparison theorem for reflected BSDEs
• Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem
• Limit behaviour of BSDE with jumps and with singular terminal condition
• Reflections on BSDEs
• A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations

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