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RBSDEs with optional barriers: monotone approximation
Cadi Ayyad University, Morocco.
Linnaeus University, Faculty of Technology, Department of Mathematics.ORCID iD: 0000-0002-5362-6475
Cadi Ayyad University, Morocco;Mohammed VI Polytechnic University, Morocco.
2022 (English)In: Probability, Uncertainty and Quantitative Risk (PUQR), ISSN 2095-9672, Vol. 7, no 2, p. 67-84Article in journal (Refereed) 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.

Place, publisher, year, edition, pages
American Institute of Mathematical Sciences, 2022. Vol. 7, no 2, p. 67-84
Keywords [en]
Reflected backward stochastic differential equation, g-expectation, Optional barrier, Monotone approximation, Comparison principle
National Category
Mathematics
Research subject
Natural Science, Mathematics
Identifiers
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
Available from: 2022-08-03 Created: 2022-08-03 Last updated: 2023-05-02Bibliographically approved

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Hilbert, Astrid

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