Reflected BSDEs with general filtration and two completely separated barriers

Autor

  • Mateusz Topolewski

DOI:

https://doi.org/10.19195/0208-4147.39.1.13

Słowa kluczowe:

Reflected BSDE, general filtration, completely separated barriers, L^1 data

Abstrakt

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 càdlàg processes of class D that are completely separated. We prove the existence and uniqueness of solutions for an integrable final condition and an integrable monotone generator. An application to the zero-sum Dynkin game is given.

Pobrania

Opublikowane

2019-06-10

Numer

Dział

Artykuły [1035]