Reflected BSDEs with general filtration and two completely separated barriers

DOI10.19195/0208-4147.39.1.13zbMATH Open1482.60083arXiv1611.06745OpenAlexW3011023179MaRDI QIDQ5227576FDOQ5227576

Authors: Mateusz Topolewski 

Publication date: 6 August 2019

Published in: Probability and Mathematical Statistics (Search for Journal in Brave)

Abstract: We consider reflected backward stochastic differential equations, with two barriers, defined on probability spaces equipped with filtration satisfying only the usual assumptions of right continuity and completeness. As for barriers we assume that there are c`adl`ag processes of class D that are completely separated. We prove the existence and uniqueness of solutions for integrable final condition and integrable monotone generator. An application to zero-sum Dynkin game is given.

Full work available at URL: https://arxiv.org/abs/1611.06745

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zbMATH Keywords

reflected BSDEgeneral filtrationcompletely separated barrierintegrable final condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic analysis (60H99)

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Cited In (13)

• Mean-field doubly reflected backward stochastic differential equations
• Systems of BSDES with oblique reflection and related optimal switching problems
• Reflected BSDE's with discontinuous barrier and application
• Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
• L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations
• One dimensional reflected BSDEs with two barriers under logarithmic growth and applications
• BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
• Reflected backward stochastic differential equations with two barriers and Dynkin games under Knightian uncertainty
• BSDEs with two reflecting barriers: the general result
• Generalized BSDE with two reflecting barriers
• 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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