Reflected BSDEs and doubly reflected BSDEs driven by RCLL martingales

Tianyang Nie; Marek Rutkowski

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arXiv · 2103.08917

Reflected BSDEs and doubly reflected BSDEs driven by RCLL martingales

Tianyang Nie·Marek Rutkowski

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Abstract

We prove some new results on reflected BSDEs and doubly reflected BSDEs driven by a multi-dimensional RCLL martingale. The goal is to develop a general multi-asset framework encompassing a wide spectrum of nonlinear financial models, including as particular cases the setups studied by Peng and Xu \cite{PX2009} and Dumitrescu et al. \cite{DGQS2018} who dealt with BSDEs driven by a one-dimensional Brownian motion and a purely discontinuous martingale with a single jump. Our results are not covered by existing literature on reflected and doubly reflected BSDEs driven by a Brownian motion and a Poisson random measure.

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Tianyang Nie, Marek Rutkowski. 2021-03-16. Reflected BSDEs and doubly reflected BSDEs driven by RCLL martingales. https://arxiv.org/abs/2103.08917

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