Doubly reflected backward stochastic differential equations in the predictable setting

DOI10.1007/S10959-020-01070-5MaRDI QIDQ2116473zbMATH OpenOpenAlexWikidataFDO

Authors Ihsan Arharas, S. Bouhadou, Youssef Ouknine

Publication date 17 March 2022

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1908.08076

zbMATH Keywords

doubly reflected backward stochastic differential equationsfixed point theoremnon-quasi-left continuousPicard iteration methodpredictable DRBSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: In this paper, we introduce a specific kind of doubly reflected Backward Stochastic Differential Equations (in short DRBSDEs), defined on probability spaces equipped with general filtration that is essentially non quasi-left continuous, where the barriers are assumed to be predictable processes. We call these equations predictable DRBSDEs. Under a general type of Mokobodzki's condition, we show the existence of the solution (in consideration of the driver's nature) through a Picard iteration method and a Banach fixed point theorem. By using an appropriate generalization of It^o's formula due to Gal'chouk and Lenglart, we provide a suitable a priori estimates which immediately implies the uniqueness of the solution.

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Cited in

(5)

• Predictable solution for reflected BSDEs when the obstacle is not right-continuous
• BSDEs with jumps and two completely separated irregular barriers in a general filtration
• Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem
• Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles
• Reflected and doubly reflected backward stochastic differential equations with irregular obstacles and a large set of stopping strategies

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