Existence and uniqueness for D-solutions of reflected BSDEs with two barriers without Mokobodzki's condition

DOI10.3934/CPAA.2016.15.1139zbMATH Open1348.60085OpenAlexW2338008690MaRDI QIDQ323988FDOQ323988

Authors: Imen Hassairi 

Publication date: 10 October 2016

Published in: Communications on Pure and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/cpaa.2016.15.1139

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zbMATH Keywords

penalizationbackward stochastic differential equationslocal solutionMokobodzki's hypothesisSnell envelope

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) (L^p)-limit theorems (60F25) Stochastic integral equations (60H20)

Cites Work

• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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• On the Starting and Stopping Problem: Application in Reversible Investments
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with reflection and Dynkin games
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• Reflected backward stochastic differential equation with jumps and random obstacle
• Reflected BSDE's with discontinuous barrier and application
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Reflected BSDEs and mixed game problem
• L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations
• Mixed Zero-Sum Stochastic Differential Game and American Game Options
• BSDEs with monotone generator and two irregular reflecting barriers
• Reflected BSDEs with monotone generator
• \(L^{p}\)-solutions for reflected backward stochastic differential equations
• \(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition

Cited In (10)

• Mean-field doubly reflected backward stochastic differential equations
• A generalized existence theorem of reflected BSDEs with double obstacles
• L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations
• Reflected BSDEs with general filtration and two completely separated barriers
• Reflected backward SDEs with two barriers under monotonicity and general increasing conditions
• Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
• \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions
• Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration
• Backward stochastic differential equations with two barriers and generalized reflection
• Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games

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