Reflected BSDEs with general filtration and two completely separated barriers

DOI10.19195/0208-4147.39.1.13MaRDI QIDQ5227576zbMATHOpenAlexFDO

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

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)

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

(18)

• A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
• L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations
• BSDEs with two reflecting barriers: the general result
• Mean-field doubly reflected backward stochastic differential equations
• Reflected BSDEs on filtered probability spaces
• BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
• Generalized BSDE with two reflecting barriers
• Reflected BSDE's with discontinuous barrier and application
• BSDEs with jumps and two completely separated irregular barriers in a general filtration
• Reflected BSDEs with optional barrier in a general filtration
• One dimensional reflected BSDEs with two barriers under logarithmic growth and applications
• Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
• Backward stochastic differential equations with two barriers and generalized reflection
• Systems of BSDES with oblique reflection and related optimal switching problems
• Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration
• Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
• Reflected backward stochastic differential equations with two barriers and Dynkin games under Knightian uncertainty
• Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games

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