Generalized reflected BSDEs with irregular obstacles driven by RCLL increasing processes on general filtered space

Abstract

We study generalized backward stochastic differential equations (GBSDEs) and generalized reflected backward stochastic differential equations (GRBSDEs) on a general filtered probability space satisfying the usual conditions, without assuming that the underlying filtration is quasi-left-continuous. The equations are driven by a prescribed predictable, bounded, nondecreasing RCLL process \(A\), which acts as a possibly discontinuous stochastic clock, which we call a driver. We first establish a priori estimates, stability, existence, and uniqueness results for GBSDEs whose generator is Lipschitz continuous with respect to the state variable. Since \(A\) may have jumps, the analysis is carried out in weighted spaces defined through the stochastic exponential \(\mathcal{E}(\beta A)\). We then investigate GRBSDEs with an optional regulated lower obstacle. When the generator is independent of the state variable, we develop two complementary approaches. The first relies on a Snell-envelope representation and optimal stopping arguments, while the second is based on a modified penalization procedure adapted to the discontinuities of the right jumps of the obstacle. The general Lipschitz case is subsequently obtained through a fixed-point argument in an appropriate weighted Banach space.