Reflected BSDEs with general filtration and two completely separated barriers

• Autorzy: Topolewski Mateusz

Identyfikatory

DOI

10.19195/0208-4147.39.1.13

• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

reflected BSDE; general filtration; completely separated barriers; L1 data

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2019
• Tom: Vol. 39, Fasc. 1
• Strony: 199--218
• Opis fizyczny: Bibliogr. 15 poz.

Twórcy

autor

Topolewski Mateusz

• Faculty of Mathematics and Computer Science, Nicolaus Copernicus University, Chopina 12/18, 87-100 Toruń, Poland

Bibliografia

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