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RBSDEs with optional barriers: monotone approximation
Cadi Ayyad University, Morocco.
Linnéuniversitetet, Fakulteten för teknik (FTK), Institutionen för matematik (MA).ORCID-id: 0000-0002-5362-6475
Cadi Ayyad University, Morocco;Mohammed VI Polytechnic University, Morocco.
2022 (engelsk)Inngår i: Probability, Uncertainty and Quantitative Risk (PUQR), ISSN 2095-9672, Vol. 7, nr 2, s. 67-84Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

In this short note we consider reflected backward stochastic differential equations (RBSDEs) with a Lipschitz driver and barrier processes that are optional and right lower semicontinuous. In this case, the barrier is represented as a nondecreasing limit of right continuous with left limit (RCLL) barriers. We combine some well-known existence results for RCLL barriers with comparison arguments for the control process to construct solutions. Finally, we highlight the connection of these RBSDEs with standard RCLL BSDEs.

sted, utgiver, år, opplag, sider
American Institute of Mathematical Sciences, 2022. Vol. 7, nr 2, s. 67-84
Emneord [en]
Reflected backward stochastic differential equation, g-expectation, Optional barrier, Monotone approximation, Comparison principle
HSV kategori
Forskningsprogram
Naturvetenskap, Matematik
Identifikatorer
URN: urn:nbn:se:lnu:diva-115646DOI: 10.3934/puqr.2022005ISI: 000827840700001Scopus ID: 2-s2.0-85134847825OAI: oai:DiVA.org:lnu-115646DiVA, id: diva2:1685600
Tilgjengelig fra: 2022-08-03 Laget: 2022-08-03 Sist oppdatert: 2023-05-02bibliografisk kontrollert

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