Reflected BSDEs with general filtration and two completely separated barriers

DOI10.19195/0208-4147.39.1.13MaRDI QIDQ5227576zbMATH OpenOpenAlexFDO

Authors Mateusz Topolewski

Publication date 6 August 2019

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

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

zbMATH Keywords

completely separated barriergeneral filtrationintegrable final conditionreflected BSDE

Mathematics Subject Classification ID

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

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.

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Cited in

(22)

• A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
• Reflected BSDEs with optional barrier in a general filtration
• BSDEs with two reflecting barriers: the general result
• Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
• Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
• Backward stochastic differential equations with two barriers and generalized reflection
• Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration
• L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations
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