Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space

Tomasz Klimsiak; Maurycy Rzymowski

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arXiv · 2001.06736

Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space

Tomasz Klimsiak·Maurycy Rzymowski

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Abstract

We consider reflected backward stochastic differential equations with two optional barriers of class (D) satisfying Mokobodzki's separation condition and coefficient which is only continuous and non-increasing. We assume that data are merely integrable and the terminal time is an arbitrary (possibly infinite) stopping time. We study the problem of existence and uniqueness of solutions, and their connections with the value process in nonlinear Dynkin games.

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BibTeX RIS

Tomasz Klimsiak, Maurycy Rzymowski. 2020-01-18. Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space. https://arxiv.org/abs/2001.06736

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