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arXiv · 1112.0255

Strong envelope and strong supermartingale: application to reflected bsdes

Soufiane Aazizi·Youssef Ouknine
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Abstract

We provide several characterizations to identify Strong envelop (for bounded measurable process) and Strong super-martingale (for non-negative right upper semi-continuous process of the class $\Dc$). As examples of application, we prove existence and uniqueness of reflected backward stochastic differential equation with lower barrier (RBSDB in short) in two cases: $i)$. the obstacle is a measurable bounded process; $ii)$. the obstacle is a right upper semicontinuous optional process of class $\Dc$.

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Soufiane Aazizi, Youssef Ouknine. 2016-01-04. Strong envelope and strong supermartingale: application to reflected bsdes. https://arxiv.org/abs/1112.0255

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