Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient

DOI10.1142/S0219493724500011zbMATH Open1537.60067MaRDI QIDQ6540653FDOQ6540653

Badr Elmansouri, Mohamed El Otmani

Publication date: 17 May 2024

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

penalization methoddoubly reflected backward stochastic differential equationsinitial enlargement of filtrationstochastic Lipschitz coefficientgame contingent claimsAzéma's martingaleRCLL martingales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

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