Reflected BSDEs with general filtration and two completely separated barriers

  1. Mateusz Topolewski

Abstract

We consider reflected backward stochastic differential equations, with two barriers, defined on probability spaces equipped with filtration satisfying only the usual assumptions of right-continuity and completeness. As for barriers, we assume that there are càdlàg processes of class D that are completely separated. We prove the existence and uniqueness of solutions for an integrable final condition and an integrable monotone generator. An application to the zero-sum Dynkin game is given.

Download article

This article

Probability and Mathematical Statistics

39, z. 1, 2019

Pages from 199 to 218

Other articles by author

Google Scholar

zamknij

Your cart (products: 0)

No products in cart

Your cart Checkout