Generalized Reflected BSDEs with RCLL Random Obstacles in a General Filtration

Badr Elmansouri; Mohamed El Otmani

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arXiv · 2503.23732

Generalized Reflected BSDEs with RCLL Random Obstacles in a General Filtration

Badr Elmansouri·Mohamed El Otmani

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Abstract

This paper addresses the existence and uniqueness of solutions to Reflected Generalized Backward Stochastic Differential Equations (GRBSDEs) within a general filtration that supports a Brownian motion and an independent integer-valued random measure. Our study focuses on cases where the given data satisfy appropriate $\mathbb{L}^2$-integrability conditions and the coefficients satisfy a monotonicity assumption. Additionally, we establish a connection between the solution and an optimal control problem over the set of stopping times.

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BibTeX RIS

Badr Elmansouri, Mohamed El Otmani. 2025-03-31. Generalized Reflected BSDEs with RCLL Random Obstacles in a General Filtration. https://arxiv.org/abs/2503.23732

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