Doubly reflected backward stochastic differential equations in the predictable setting

DOI10.1007/S10959-020-01070-5zbMATH Open1498.60193arXiv1908.08076OpenAlexW3120899859WikidataQ115382023 ScholiaQ115382023MaRDI QIDQ2116473FDOQ2116473

Authors: Ihsan Arharas, S. Bouhadou, Youssef Ouknine 

Publication date: 17 March 2022

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

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.

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

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zbMATH Keywords

fixed point theoremdoubly reflected backward stochastic differential equationsPicard iteration methodnon-quasi-left continuouspredictable DRBSDEs

Mathematics Subject Classification ID

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

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Cited In (3)

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• 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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